Tobias Adrian

International Monetary Fund

700 19th Street, N.W.

Washington, DC 20431

United States

http://www.tobiasadrian.com

SCHOLARLY PAPERS

72

DOWNLOADS
Rank 334

SSRN RANKINGS

Top 334

in Total Papers Downloads

52,189

SSRN CITATIONS
Rank 264

SSRN RANKINGS

Top 264

in Total Papers Citations

1,367

CROSSREF CITATIONS

1,375

Ideas:
“  Tobias Adrian is the Financial Counsellor and Director of the Monetary and Capital Markets Department of the International Monetary Fund (IMF). In this capacity, he leads the IMF’s work on financial sector surveillance, monetary and macroprudential policies, financial regulation, bank resolution, debt management, and capital markets. He also oversees capacity building activities in IMF member countries with regard to the supervision and regulation of financial systems, bank resolution, central banking, monetary and exchange rate regimes, and debt management.  ”

Scholarly Papers (72)

1.
Downloads 8,408 ( 689)
Citation 120

Shadow Banking

Number of pages: 81 Posted: 16 Jul 2010
Federal Reserve Banks - Federal Reserve Bank of New York, International Monetary Fund, Federal Reserve Bank of New York and Bank of America Merrill Lynch
Downloads 5,196 (1,544)
Citation 110

Abstract:

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shadow banking, financial intermediation

Shadow Banking

FRB of New York Staff Report No. 458
Number of pages: 81 Posted: 20 Jul 2010 Last Revised: 09 Aug 2014
Federal Reserve Banks - Federal Reserve Bank of New York, International Monetary Fund, Federal Reserve Bank of New York and Bank of America Merrill Lynch
Downloads 2,197 (6,760)
Citation 137

Abstract:

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shadow banking, financial intermediation

Shadow Banking

Economic Policy Review, Vol. 19, No. 2, 2013
Number of pages: 16 Posted: 13 Jan 2014
Federal Reserve Banks - Federal Reserve Bank of New York, International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 1,015 (22,919)

Abstract:

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credit intermediation, financial institutions

2.

The Shadow Banking System: Implications for Financial Regulation

FRB of New York Staff Report No. 382
Number of pages: 18 Posted: 30 Jul 2009
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 4,364 (2,153)
Citation 57

Abstract:

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financial architecture, regulatory reform

3.

Liquidity and Leverage

FRB of New York Staff Report No. 328
Number of pages: 39 Posted: 04 Jun 2008 Last Revised: 11 Nov 2010
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 3,468 (3,172)
Citation 300

Abstract:

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financial market liquidity, financial cycles, financial intermediary leverage

4.
Downloads 3,073 ( 3,916)
Citation 91

CoVaR

FRB of New York Staff Report No. 348
Number of pages: 45 Posted: 19 Sep 2008 Last Revised: 17 Oct 2013
Tobias Adrian and Markus K. Brunnermeier
International Monetary Fund and Princeton University - Department of Economics
Downloads 2,876 (4,303)
Citation 131

Abstract:

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value at risk, systemic risk, risk spillovers, financial architecture

Covar

NBER Working Paper No. w17454
Number of pages: 45 Posted: 06 Oct 2011 Last Revised: 18 Oct 2011
Tobias Adrian and Markus K. Brunnermeier
International Monetary Fund and Princeton University - Department of Economics
Downloads 197 (167,107)
Citation 1

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5.

Liquidity, Monetary Policy, and Financial Cycles

Current Issues in Economics and Finance, Vol. 14, No. 1, January/February 2008
Number of pages: 7 Posted: 11 Feb 2008
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 2,932 (4,246)
Citation 6

Abstract:

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monetary policy, financial intermediation, financial cycles

6.

Money, Liquidity, and Monetary Policy

FRB of New York Staff Report No. 360
Number of pages: 14 Posted: 22 Jan 2009
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 2,742 (4,753)
Citation 45

Abstract:

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credit crisis, monetary policy

7.

Financial Intermediaries, Financial Stability, and Monetary Policy

FRB of New York Staff Report No. 346
Number of pages: 39 Posted: 15 Sep 2008
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 2,531 (5,438)
Citation 105

Abstract:

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monetary policy, financial stability, financial intermediation, security brokers and dealers, commercial banks

Learning About Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM

Federal Reserve Bank of New York Staff Report No. 193
Number of pages: 48 Posted: 09 Apr 2003 Last Revised: 14 Oct 2008
Tobias Adrian and Francesco A. Franzoni
International Monetary Fund and USI Lugano
Downloads 1,960 (8,207)
Citation 6

Abstract:

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Asset Pricing, Bayesian Learning, CAPM Anomalies

Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM

Swiss Finance Institute Research Paper No. 08-36
Number of pages: 51 Posted: 21 Nov 2008
Tobias Adrian and Francesco A. Franzoni
International Monetary Fund and USI Lugano
Downloads 441 (70,150)
Citation 19

Abstract:

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Asset Pricing, Bayesian Learning, CAPM Anomalies, Value Premium

9.

Shadow Banking: A Review of the Literature

FRB of New York Staff Report No. 580
Number of pages: 38 Posted: 13 Nov 2012
Tobias Adrian and Adam B. Ashcraft
International Monetary Fund and Federal Reserve Bank of New York
Downloads 1,708 (10,496)
Citation 18

Abstract:

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shadow banking, financial stability, financial intermediation

10.
Downloads 1,537 ( 12,361)

Shadow Banking Regulation

FRB of New York Staff Report No. 559
Number of pages: 64 Posted: 20 Apr 2012
Tobias Adrian and Adam B. Ashcraft
International Monetary Fund and Federal Reserve Bank of New York
Downloads 1,537 (12,121)
Citation 27

Abstract:

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shadow banking, financial regulation

Shadow Banking Regulation

Annual Review of Financial Economics, Vol. 4, pp. 99-140, 2012
Posted: 04 Nov 2012
Tobias Adrian and Adam B. Ashcraft
International Monetary Fund and Federal Reserve Bank of New York

Abstract:

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11.

Financial Intermediaries and Monetary Economics

FRB of New York Staff Report No. 398
Number of pages: 75 Posted: 20 Oct 2009 Last Revised: 10 Nov 2010
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 1,327 (15,598)
Citation 77

Abstract:

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financial intermediation, monetary policy, risk-taking channel

12.

Monetary Cycles, Financial Cycles and the Business Cycle

FRB of New York Staff Report No. 421
Number of pages: 19 Posted: 06 Jan 2010
Tobias Adrian, Arturo Estrella and Hyun Song Shin
International Monetary Fund, affiliation not provided to SSRN and Bank for International Settlements (BIS)
Downloads 1,280 (16,472)
Citation 35

Abstract:

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monetary policy, financial intermediation

13.

Pricing the Term Structure with Linear Regressions

FRB of New York Staff Report No. 340
Number of pages: 68 Posted: 22 Mar 2009 Last Revised: 07 May 2013
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 1,126 (19,982)
Citation 117

Abstract:

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term structure of interest rates, Fama-MacBeth regressions, dynamic asset pricing model estimation

14.

Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

FRB of New York Staff Report No. 254
Number of pages: 47 Posted: 21 Jul 2006
Tobias Adrian and Joshua V. Rosenberg
International Monetary Fund and Federal Reserve Bank of New York
Downloads 1,057 (21,933)
Citation 44

Abstract:

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asset pricing, stochastic volatility, cross section of returns

15.

Liquidity and Financial Cycles

BIS Working Paper No. 256
Number of pages: 38 Posted: 22 Jul 2008
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 1,013 (23,366)
Citation 61

Abstract:

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Financial cycle, financial intermediation, leverage, liquidity

16.

Financial Intermediaries and the Cross-Section of Asset Returns

Journal of Finance, December 2014
Number of pages: 58 Posted: 23 Mar 2011 Last Revised: 20 Nov 2014
Tobias Adrian, Erkko Etula and Tyler Muir
International Monetary Fund, Independent and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 874 (28,871)
Citation 86

Abstract:

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cross sectional asset pricing, financial intermediation

17.

Measuring Risk in the Hedge Fund Sector

Current Issues in Economics and Finance, Vol. 13, No. 3, March/April 2007
Number of pages: 7 Posted: 27 Sep 2007
Tobias Adrian
International Monetary Fund
Downloads 815 (31,893)

Abstract:

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hedge funds, systemic risk, LTCM crisis

18.
Downloads 748 ( 35,858)
Citation 72

Intermediary Leverage Cycles and Financial Stability

Becker Friedman Institute for Research in Economics Working Paper No. 2012-010
Number of pages: 65 Posted: 21 Aug 2012
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 642 (43,442)
Citation 64

Abstract:

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Systemic risk, macroprudential policy, DSGE, amplification, capital regulation, financial intermediation

Intermediary Leverage Cycles and Financial Stability

FRB of New York Staff Report No. 567
Number of pages: 64 Posted: 15 Aug 2012
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 106 (277,407)
Citation 59

Abstract:

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systemic risk, macroprudential policy, DSGE, amplification, capital regulation, financial intermediation

19.

Procyclical Leverage and Value-at-Risk

FRB of New York Staff Report No. 338
Number of pages: 29 Posted: 31 Jul 2008 Last Revised: 31 Mar 2011
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 594 (48,820)
Citation 3

Abstract:

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security brokers and dealers, contracting in financial institutions

20.

Financial Intermediation, Asset Prices and Macroeconomic Dynamics

FRB of New York Staff Report No. 422
Number of pages: 42 Posted: 07 Jan 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 564 (52,112)
Citation 68

Abstract:

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return predictability, financial intermediation, macroeconomic dynamics, macroprudential policy

21.
Downloads 521 ( 57,619)
Citation 3

Intraday Market Making with Overnight Inventory Costs

Journal of Financial Markets, Forthcoming
Number of pages: 65 Posted: 29 Sep 2016 Last Revised: 13 Apr 2020
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 407 (77,226)
Citation 3

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inventory control, jump-driven stochastic control, market microstructure theory, market making

Intraday Market Making with Overnight Inventory Costs

FRB of NY Staff Report No. 799
Number of pages: 57 Posted: 25 Oct 2016
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 114 (263,197)

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market microstructure theory, market liquidity, market making, financial intermediation

Intraday Market Making with Overnight Inventory Costs

CEPR Discussion Paper No. DP12245
Number of pages: 56 Posted: 29 Aug 2017
International Monetary Fund, Columbia University, Citadel LLC and Columbia University
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Financial Intermediation, market liquidity, market making, Market microstructure theory

Disagreement and Learning in a Dynamic Contracting Model

FRB of New York Staff Report No. 269
Number of pages: 41 Posted: 06 Nov 2005 Last Revised: 22 May 2008
Tobias Adrian and Mark M. Westerfield
International Monetary Fund and University of Washington
Downloads 463 (66,084)
Citation 1

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Dynamic Contracts, Heterogeneous Beliefs, Learning, Disagreement Risk, Principal-Agent, Continuous Time

Disagreement and Learning in a Dynamic Contracting Model

Review of Financial Studies, Forthcoming
Number of pages: 41 Posted: 17 Dec 2008
Tobias Adrian and Mark M. Westerfield
International Monetary Fund and University of Washington
Downloads 45 (446,192)

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Dynamic Contracts, Heterogeneous Beliefs, Learning, Disagreement Risk, Principal-Agent, Continuous Time

Disagreement and Learning in a Dynamic Contracting Model

The Review of Financial Studies, Vol. 22, Issue 10, pp. 3873-3906, 2009
Posted: 28 Sep 2009
Tobias Adrian and Mark M. Westerfield
International Monetary Fund and University of Washington

Abstract:

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D03, D86

23.

Shadow Bank Monitoring

FRB of New York Staff Report No. 638
Number of pages: 35 Posted: 03 Oct 2013
Tobias Adrian, Adam B. Ashcraft and Nicola Cetorelli
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 484 (63,193)
Citation 13

Abstract:

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shadow banking, financial stability monitoring, financial intermediation

24.
Downloads 480 ( 63,840)
Citation 9

The Cost of Capital of the Financial Sector

Number of pages: 57 Posted: 22 Dec 2015 Last Revised: 17 Dec 2016
Tobias Adrian, Evan Friedman and Tyler Muir
International Monetary Fund, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 326 (99,793)
Citation 10

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The Cost of Capital of the Financial Sector

FRB of NY Staff Report No. 755
Number of pages: 52 Posted: 11 Jan 2016 Last Revised: 11 Nov 2017
Tobias Adrian, Evan Friedman and Tyler Muir
International Monetary Fund, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 150 (212,472)

Abstract:

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cost of capital, financial intermediation, asset pricing, capital structure

The Cost of Capital of the Financial Sector

CEPR Discussion Paper No. DP11031
Number of pages: 53 Posted: 12 Jan 2016
Tobias Adrian, Evan Friedman and Tyler Muir
International Monetary Fund, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 4 (701,897)
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asset pricing, cost of capital, financial intermediation

25.

The Federal Reserve’s Primary Dealer Credit Facility

Current Issues in Economics and Finance, Vol. 15, No. 4, August 2009
Number of pages: 12 Posted: 15 Sep 2009
International Monetary Fund, affiliation not provided to SSRN and Wharton Financial Institutions Center
Downloads 478 (64,190)
Citation 4

Abstract:

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Primary Dealer Credit Facility, primary dealers, financial stability, monetary policy, Federal Reserve, triparty repo

26.

Risk Appetite and Exchange Rates

FRB of New York Staff Report No. 361
Number of pages: 45 Posted: 05 Feb 2009 Last Revised: 29 Mar 2018
Tobias Adrian, Erkko Etula and Hyun Song Shin
International Monetary Fund, Independent and Bank for International Settlements (BIS)
Downloads 444 (70,257)
Citation 52

Abstract:

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asset pricing, financial intermediaries, exchange rates

27.
Downloads 432 ( 72,612)
Citation 6

Financial Stability Policies for Shadow Banking

FRB of New York Staff Report No. 664
Number of pages: 37 Posted: 14 Feb 2014
Tobias Adrian
International Monetary Fund
Downloads 431 (72,157)
Citation 9

Abstract:

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shadow bank policies, systemic risk, financial intermediation

Financial Stability Policies for Shadow Banking

CEPR Discussion Paper No. DP10435
Number of pages: 38 Posted: 02 Mar 2015
Tobias Adrian
International Monetary Fund
Downloads 1 (736,422)
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financial intermediation, shadow bank policies, systemic risk

Monetary Policy, Financial Conditions, and Financial Stability

FRB of New York Staff Report No. 690
Number of pages: 38 Posted: 13 Sep 2014
Tobias Adrian and Nellie Liang
International Monetary Fund and Brookings Institution
Downloads 402 (78,293)
Citation 54

Abstract:

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risk-taking channel of monetary policy, monetary policy transmission, monetary policy rules, financial stability, financial conditions, macroprudential policy

Monetary Policy, Financial Conditions, and Financial Stability

CEPR Discussion Paper No. DP11394
Number of pages: 45 Posted: 18 Jul 2016
Tobias Adrian and Nellie Liang
International Monetary Fund and Brookings Institution
Downloads 2 (722,173)
Citation 2
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financial conditions, financial stability, leaning against the wind, macroprudential policy, monetary policy rules, monetary policy transmission, risk taking channel of monetary policy

29.

Dodd-Frank One Year on: Implications for Shadow Banking

FRB of New York Staff Report No. 533
Number of pages: 7 Posted: 04 Jan 2012
Tobias Adrian
International Monetary Fund
Downloads 382 (83,879)

Abstract:

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shadow banking, regulation

30.

The Term Structure of Inflation Expectations

FRB of New York Staff Report No. 362
Number of pages: 49 Posted: 06 Feb 2009
Tobias Adrian and Hao Z. Wu
International Monetary Fund and Princeton University
Downloads 351 (92,491)
Citation 17

Abstract:

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affine term structure models, inflation expectations, stochastic volatility, asset pricing, monetary policy

31.

Prices and Quantities in the Monetary Policy Transmission Mechanism

Federal Reserve Bank of New York Staff Report No. 396
Number of pages: 15 Posted: 07 Oct 2009 Last Revised: 10 Nov 2010
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 349 (93,054)
Citation 12

Abstract:

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monetary policy, liquidity facilities

32.
Downloads 341 ( 95,542)
Citation 8

Financial Stability Monitoring

FEDS Working Paper No. 2013-21
Number of pages: 58 Posted: 10 May 2013
Tobias Adrian, Daniel M. Covitz and Nellie Liang
International Monetary Fund, Federal Reserve Board - Division of Research & Statistics and Brookings Institution
Downloads 265 (124,754)
Citation 5

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Stability, monitoring, vulnerabilities

Financial Stability Monitoring

FRB of New York Staff Report No. 601
Number of pages: 58 Posted: 02 Mar 2013
Tobias Adrian, Daniel M. Covitz and Nellie Liang
International Monetary Fund, Federal Reserve Board - Division of Research & Statistics and Brookings Institution
Downloads 76 (343,429)
Citation 5

Abstract:

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financial stability, systemic risk

Financial Stability Monitoring

Annual Review of Financial Economics, Vol. 7, pp. 357-395, 2015
Posted: 11 Dec 2015
Tobias Adrian, Daniel M. Covitz and Nellie Liang
International Monetary Fund, Federal Reserve Board - Division of Research & Statistics and Brookings Institution

Abstract:

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33.

What Financing Data Reveal About Dealer Leverage

Current Issues in Economics and Finance, Vol. 11, No. 3, March 2005
Number of pages: 7 Posted: 05 Apr 2005
Tobias Adrian and Michael J. Fleming
International Monetary Fund and Federal Reserve Bank of New York
Downloads 337 (96,769)

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leverage, primary dealers, risk taking, volatility, treasury market

Financial Intermediary Balance Sheet Management

FRB of New York Staff Report No. 532
Number of pages: 30 Posted: 04 Jan 2012
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 312 (104,754)
Citation 14

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Capital, debt, leverage, procyclicality

Financial Intermediary Balance Sheet Management

Annual Review of Financial Economics, Vol. 3, pp. 289-307, 2011
Posted: 10 Jan 2012
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)

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35.

The Federal Reserve’s Commercial Paper Funding Facility

FRB of New York Staff Report No. 423
Number of pages: 38 Posted: 07 Jan 2010 Last Revised: 24 May 2010
Tobias Adrian, Karin J. Kimbrough and Dina Marchioni
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 312 (105,350)
Citation 21

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Federal Reserve, lender of last resort

36.

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

FRB of NY Staff Report No. 723
Number of pages: 116 Posted: 18 Aug 2015 Last Revised: 05 Dec 2017
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 310 (106,050)
Citation 4

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flight to safety, risk-return trade-off, dynamic asset pricing, volatility, nonparametric estimation and inference, intermediary asset pricing, asset management

37.
Downloads 303 (109,205)
Citation 25

Market Liquidity after the Financial Crisis

FRB of NY Staff Report No. 796
Number of pages: 47 Posted: 20 Oct 2016 Last Revised: 21 Sep 2017
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Citadel LLC
Downloads 303 (108,608)

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liquidity, market making, Treasury market, corporate bonds, regulation

Market Liquidity after the Financial Crisis

CEPR Discussion Paper No. DP12248
Number of pages: 49 Posted: 29 Aug 2017
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Citadel LLC
Downloads 0
Citation 13
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corporate bonds, liquidity, market making, regulation, Treasury securities

Market Liquidity after the Financial Crisis

Annual Review of Financial Economics, Vol. 9, pp. 43-83, 2017
Posted: 03 Jan 2018
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Citadel LLC

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38.
Downloads 300 (109,987)
Citation 24

Decomposing Real and Nominal Yield Curves

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 62 Posted: 03 Sep 2012 Last Revised: 07 Dec 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 167 (193,778)
Citation 24

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TIPS, inflation expectations, affine term structure models

Pricing TIPS and Treasuries with Linear Regressions

FRB of New York Staff Report No. 570
Number of pages: 57 Posted: 22 Sep 2012 Last Revised: 07 May 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 133 (234,278)
Citation 2

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TIPS, inflation expectations, affine term structure models

39.

Leverage Asset Pricing

FRB of New York Staff Report No. 625
Number of pages: 45 Posted: 05 Sep 2013
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 243 (136,953)
Citation 25

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return predictability, cross-sectional asset pricing, financial intermediation, macro-finance

40.
Downloads 224 (148,318)
Citation 26

Repo and Securities Lending

FRB of New York Staff Report No. 529
Number of pages: 20 Posted: 24 Dec 2011
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York - Research and Statistics
Downloads 203 (162,449)
Citation 2

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systemic risk, repo

Repo and Securities Lending

NBER Working Paper No. w18549
Number of pages: 21 Posted: 20 Nov 2012
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York - Research and Statistics
Downloads 21 (575,397)
Citation 2

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Regression-Based Estimation of Dynamic Asset Pricing Models

FRB of New York Staff Report No. 493
Number of pages: 55 Posted: 12 May 2011 Last Revised: 09 Dec 2014
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 222 (149,203)
Citation 4

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dynamic asset pricing, Fama-MacBeth regression, financial econometrics, GMM, minimum distance estimation, reduced rank regression

Regression Based Estimation of Dynamic Asset Pricing Models

CEPR Discussion Paper No. DP10449
Number of pages: 56 Posted: 02 Mar 2015
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
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Citation 4
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

42.
Downloads 179 (182,409)
Citation 7

Financial Vulnerability and Monetary Policy

FRB of NY Staff Report No. 804
Number of pages: 67 Posted: 30 Dec 2016 Last Revised: 06 Sep 2017
Tobias Adrian and Fernando Duarte
International Monetary Fund and Federal Reserve Bank of New York
Downloads 177 (184,138)
Citation 5

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monetary policy, macro-finance, financial stability

Financial Vulnerability and Monetary Policy

CEPR Discussion Paper No. DP12680
Number of pages: 69 Posted: 05 Feb 2018
Tobias Adrian and Fernando Duarte
International Monetary Fund and Federal Reserve Bank of New York
Downloads 2 (722,173)
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Financial Stability, Macro-Finance, monetary policy

43.

Inference, Arbitrage, and Asset Price Volatility

FRB of New York Staff Report No. 187
Number of pages: 28 Posted: 13 Jul 2004 Last Revised: 10 Jun 2010
Tobias Adrian
International Monetary Fund
Downloads 175 (186,035)
Citation 3

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asset pricing, learning, asymmetric information, limits to arbitrage

44.

On the Scale of Financial Intermediaries

FRB of NY Staff Report No. 743
Number of pages: 37 Posted: 06 Oct 2015
Tobias Adrian, Nina Boyarchenko and Hyun Song Shin
International Monetary Fund, Federal Reserve Bank of New York and Bank for International Settlements (BIS)
Downloads 152 (209,724)

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financial intermediation, macro-finance, capital regulations

45.
Downloads 141 (222,902)
Citation 11

Liquidity Policies and Systemic Risk

FRB of New York Staff Report No. 661
Number of pages: 44 Posted: 12 Jan 2014
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 141 (223,468)
Citation 13

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liquidity regulation, systemic risk, DSGE, financial intermediation

Liquidity Policies and Systemic Risk

CEPR Discussion Paper No. DP12247
Number of pages: 49 Posted: 29 Aug 2017
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
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DSGE, Financial Intermediation, liquidity regulation, systemic risk

46.

Monetary Tightening Cycles and the Predictability of Economic Activity

Federal Reserve Bank of New York Staff Report No. 397
Number of pages: 16 Posted: 07 Oct 2009
Arturo Estrella and Tobias Adrian
affiliation not provided to SSRN and International Monetary Fund
Downloads 113 (263,634)
Citation 4

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monetary policy, interest rates, term structure, discriminant analysis

47.
Downloads 111 (266,967)
Citation 64

Vulnerable Growth

FRB of NY Staff Report No. 794
Number of pages: 56 Posted: 30 Sep 2016 Last Revised: 15 Nov 2017
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 111 (268,341)
Citation 4

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Downside risk, entropy, quantile regressions

Vulnerable Growth

CEPR Discussion Paper No. DP11583
Number of pages: 46 Posted: 24 Oct 2016
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
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Citation 47
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48.
Downloads 104 (279,450)
Citation 43

Dealer Balance Sheets and Bond Liquidity Provision

FRB of NY Staff Report No. 803
Number of pages: 46 Posted: 30 Dec 2016 Last Revised: 06 Sep 2017
Tobias Adrian, Nina Boyarchenko and Or Shachar
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 104 (281,205)
Citation 15

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bond liquidity, regulation, dealer constraints

Dealer Balance Sheets and Bond Liquidity Provision

CEPR Discussion Paper No. DP12246
Number of pages: 48 Posted: 29 Aug 2017
Tobias Adrian, Nina Boyarchenko and Or Shachar
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
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49.

Macro Risk Premium and Intermediary Balance Sheet Quantities

FRB of New York Staff Report No. 428
Number of pages: 39 Posted: 03 Feb 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 104 (279,450)
Citation 3

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monetary policy, financial intermediation, capital markets

50.

An Index of Treasury Market Liquidity: 1991-2017

FRB of NY Staff Report No. 827
Number of pages: 39 Posted: 17 Nov 2017
Tobias Adrian, Michael J. Fleming and Erik Vogt
International Monetary Fund, Federal Reserve Bank of New York and Citadel LLC
Downloads 96 (294,631)
Citation 2

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Treasury securities, market liquidity, funding liquidity, volatility, index

Macroprudential Policy: Case Study from a Tabletop Exercise

FRB of NY Staff Report No. 742
Number of pages: 42 Posted: 06 Oct 2015 Last Revised: 30 Aug 2017
International Monetary Fund, Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of Boston
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financial stability, macroprudential policy, monetary policy, financial overheating, tabletop exercise

Macroprudential Policy: Case Study from a Tabletop Exercise

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 15-1
Number of pages: 42 Posted: 07 Sep 2017
International Monetary Fund, Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of Boston
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Financial stability, macroprudential policy, monetary policy, financial overheating, tabletop exercise

52.

Intermediary Balance Sheets

FRB of New York Staff Report No. 651
Number of pages: 43 Posted: 17 Nov 2013
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 84 (320,386)
Citation 7

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procyclical leverage, endogenous uncertainty, heterogenous agents

53.

Global Price of Risk and Stabilization Policies

FRB of NY Staff Report No. 786
Number of pages: 65 Posted: 12 Aug 2016 Last Revised: 31 Aug 2017
Tobias Adrian, Daniel Stackman and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 75 (342,529)

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financial stability, monetary policy, fiscal policy, regulatory policy

54.

Financial Amplification of Foreign Exchange Risk Premia

FRB of New York Staff Report No. 461
Number of pages: 33 Posted: 01 Aug 2010
Tobias Adrian, Erkko Etula and Jan J. Groen
International Monetary Fund, Independent and Federal Reserve Bank of New York
Downloads 65 (370,055)
Citation 4

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foreign exchange risk premium, systemic risk monitoring, financial intermediation, asset pricing

55.

Discussion of 'Systemic Risk and the Solvency-Liquidity Nexus of Banks'

FRB of New York Staff Report No. 722
Number of pages: 11 Posted: 28 Oct 2015
Tobias Adrian
International Monetary Fund
Downloads 56 (398,379)

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systemic risk, banking liquidity, capital regulation, liquidity regulation

56.

The Term Structure of Growth-at-Risk

IMF Working Paper No. 18/180
Number of pages: 41 Posted: 22 Aug 2018
International Monetary Fund, International Monetary Fund, Brookings Institution and International Monetary Fund (IMF)
Downloads 54 (405,161)

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Financial stability, downside risk, macrofinancial linkages, volatility paradox, quantile regression, General, International Business Cycles

57.

The Federal Reserve's Commercial Paper Funding Facility

Economic Policy Review, Vol. 17, No. 1, p. 25, May 2011
Number of pages: 15 Posted: 01 Nov 2011
Tobias Adrian, Karin J. Kimbrough and Dina Marchioni
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 51 (415,494)
Citation 14

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58.

Discussion of 'An Integrated Framework for Multiple Financial Regulations'

FRB of New York Staff Report No. 583
Number of pages: 11 Posted: 09 Dec 2012
Tobias Adrian
International Monetary Fund
Downloads 46 (434,031)

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macroprudential policy, microprudential policy, procyclicality

59.

Macroprudential Policy: A Case Study from a Tabletop Exercise

Economic Policy Review, Issue 23-1, pp. 1-30, 2017
Number of pages: 30 Posted: 02 Mar 2017 Last Revised: 16 Dec 2017
International Monetary Fund, Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 45 (437,844)

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financial stability, macroprudential policy, monetary policy, financial overheating, tabletop exercise

60.

Multimodality in Macro-Financial Dynamics

FRB of New York Staff Report No. 903, 2019
Number of pages: 50 Posted: 20 Nov 2019
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 37 (471,118)
Citation 4

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density impulse response, multimodality, nonparametric density estimator

A Leverage-Based Measure of Financial Stability

Discussion Papers on Business and Economics, University of Southern Denmark, 1/2018
Number of pages: 38 Posted: 12 Feb 2018
Tobias Adrian, Karol Borowiecki and Alexander Tepper
International Monetary Fund, University of Southern Denmark and Federal Reserve Bank of New York
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Leverage, financial crisis, financial stability, minimum market size for stability, MinMaSS, stability ratio, Long-Term Capital Management, LTCM

A Leverage-Based Measure of Financial Stability

CEPR Discussion Paper No. DP12676
Number of pages: 40 Posted: 05 Feb 2018
Tobias Adrian, Karol Borowiecki and Alexande Tepper
International Monetary Fund, University of Southern Denmark and Columbia University - Graduate School of Architecture, Planning and Preservation
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financial crisis, Financial Stability, leverage, Long-Term Capital Management, LTCM, minimum market size for stability, MinMaSS, stability ratio

62.

Procyclical Leverage and Value-at-Risk

NBER Working Paper No. w18943
Number of pages: 43 Posted: 05 Apr 2013
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 24 (538,422)
Citation 29

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63.

Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-9

NBER Working Paper No. w18335
Number of pages: 56 Posted: 01 Sep 2012
Tobias Adrian, Paolo Colla and Hyun Song Shin
International Monetary Fund, Bocconi University - Department of Finance and Bank for International Settlements (BIS)
Downloads 22 (550,689)
Citation 4

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64.

Forecasting Macroeconomic Risks

FRB of New York Staff Report No. 914
Number of pages: 33 Posted: 21 Feb 2020
MIT Sloan School of Management, International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 20 (563,103)

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macroeconomic uncertainty, quantile regressions, financial conditions

65.
Downloads 7 (650,247)
Citation 1

Risk Management and Regulation

CEPR Discussion Paper No. DP12422
Number of pages: 35 Posted: 06 Nov 2017 Last Revised: 14 Nov 2017
Tobias Adrian
International Monetary Fund
Downloads 6 (685,821)
Citation 1
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Banking, Financial crises, regulation, Risk management

Risk Management and Regulation

Journal of Risk, Vol. 21, No. 1, 2017
Number of pages: 36 Posted: 01 Nov 2017
Tobias Adrian
International Monetary Fund
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Risk Management, Financial Regulation, Global Financial Crisis, Regulatory Innovation, Financial Innovation

66.

Risk-Taking Channel of Monetary Policy

CEPR Discussion Paper No. DP12677
Number of pages: 28 Posted: 05 Feb 2018
Tobias Adrian, Arturo Estrella and Hyun Song Shin
International Monetary Fund, affiliation not provided to SSRN and Bank for International Settlements (BIS)
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Citation 3
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risk taking channel of monetary policy

67.

Monetary Policy and Financial Conditions: A Cross-Country Study

CEPR Discussion Paper No. DP12681
Number of pages: 24 Posted: 05 Feb 2018
International Monetary Fund, Federal Reserve Bank of New York, International Monetary Fund and International Monetary Fund (IMF)
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financial conditions, Financial Stability, monetary policy

68.

Dynamic Leverage Asset Pricing

CEPR Discussion Paper No. DP11466
Number of pages: 58 Posted: 30 Aug 2016 Last Revised: 02 Dec 2019
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements (BIS)
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intermediary asset pricing, Leverage Cycles, Macro-Finance

69.

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

CEPR Discussion Paper No. DP11401
Number of pages: 81 Posted: 25 Jul 2016
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
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Citation 2
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asset management, dynamic asset pricing, flight-to-safety, intermediary asset pricing, nonparametric estimation and inference, risk-return tradeoff, volatility

70.

Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09

FRB of New York Staff Report No. 528
Posted: 24 Dec 2011 Last Revised: 04 Oct 2012
Tobias Adrian, Paolo Colla and Hyun Song Shin
International Monetary Fund, Bocconi University - Department of Finance and Bank for International Settlements (BIS)

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financial intermediation, credit supply

71.

The Changing Nature of Financial Intermediation and the Financial Crisis of 2007–2009

Annual Review of Economics, Vol. 2, pp. 603-618, 2010
Posted: 18 Oct 2010
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)

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72.

The Commercial Paper Funding Facility

Posted: 17 Mar 2009
Tobias Adrian, Karin J. Kimbrough and Dina Marchioni
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York

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Monetary policy, liquidity backstop, money markets