Tobias Adrian

International Monetary Fund

700 19th Street, N.W.

Washington, DC 20431

United States

http://www.tobiasadrian.com

SCHOLARLY PAPERS

73

DOWNLOADS
Rank 399

SSRN RANKINGS

Top 399

in Total Papers Downloads

55,102

SSRN CITATIONS
Rank 236

SSRN RANKINGS

Top 236

in Total Papers Citations

1,830

CROSSREF CITATIONS

1,365

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 (73)

1.
Downloads 8,888 ( 713)
Citation 151

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 5,285 (1,740)
Citation 128

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 2,345 (6,984)
Citation 164

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 1,258 (18,812)

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 4,715 (2,181)
Citation 2

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 3,543 (3,514)
Citation 351

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financial market liquidity, financial cycles, financial intermediary leverage

4.
Downloads 3,326 ( 3,920)
Citation 107

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 3,101 (4,373)
Citation 142

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: 12 Mar 2021
Tobias Adrian and Markus K. Brunnermeier
International Monetary Fund and Princeton University - Department of Economics
Downloads 225 (162,555)
Citation 8

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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 3,040 (4,627)
Citation 9

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 2,773 (5,394)
Citation 54

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 2,709 (5,628)
Citation 108

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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 1,983 (9,185)
Citation 6

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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 445 (77,329)
Citation 20

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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 1,742 (11,523)
Citation 28

Abstract:

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shadow banking, financial stability, financial intermediation

10.
Downloads 1,583 ( 13,394)
Citation 34

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 1,583 (13,141)
Citation 34

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 1,372 (16,780)
Citation 95

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 1,338 (17,445)
Citation 43

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 1,229 (19,792)
Citation 134

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 1,074 (24,179)
Citation 52

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 1,054 (24,891)
Citation 65

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, AFA 2012 Chicago Meetings Paper
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 916 (30,461)
Citation 137

Abstract:

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cross sectional asset pricing, financial intermediation

17.
Downloads 851 ( 33,727)
Citation 67

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 724 (41,480)
Citation 33

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 127 (266,968)
Citation 49

Abstract:

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

18.

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 841 (34,354)
Citation 1

Abstract:

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hedge funds, systemic risk, LTCM crisis

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 599 (54,063)
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 592 (54,917)
Citation 70

Abstract:

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return predictability, financial intermediation, macroeconomic dynamics, macroprudential policy

21.
Downloads 548 ( 60,511)
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 431 (80,358)
Citation 2

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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 117 (283,847)
Citation 1

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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

22.
Downloads 534 ( 62,447)
Citation 11

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 368 (96,619)
Citation 14

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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 162 (219,125)

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 (763,012)
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asset pricing, cost of capital, financial intermediation

Disagreement and Learning in a Dynamic Contracting Model

FRB of New York Staff Report No. 269, USC Marshall School of Business Research Paper
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 469 (72,621)
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 (487,991)
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

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

24.

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 499 (67,884)
Citation 5

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

25.
Downloads 497 ( 68,237)
Citation 11

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 496 (67,687)
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 (797,648)
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financial intermediation, shadow bank policies, systemic risk

26.

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 496 (68,402)
Citation 21

Abstract:

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shadow banking, financial stability monitoring, financial intermediation

27.

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 490 (69,459)
Citation 54

Abstract:

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asset pricing, financial intermediaries, exchange rates

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 445 (77,329)
Citation 60

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 (783,625)
Citation 4
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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.

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 393 (90,259)
Citation 12

Abstract:

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monetary policy, liquidity facilities

30.

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 385 (92,438)

Abstract:

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shadow banking, regulation

31.

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 371 (96,526)
Citation 19

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

32.
Downloads 348 (103,721)
Citation 14

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, Board of Governors of the Federal Reserve System and Brookings Institution
Downloads 270 (135,512)
Citation 6

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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, Board of Governors of the Federal Reserve System and Brookings Institution
Downloads 78 (370,591)
Citation 12

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, Board of Governors of the Federal Reserve System and Brookings Institution

Abstract:

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33.

What Financing Data Reveal About Dealer Leverage

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 348 (103,721)

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

34.
Downloads 336 (107,859)
Citation 28

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 188 (192,414)
Citation 26

Abstract:

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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 148 (236,416)
Citation 2

Abstract:

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TIPS, inflation expectations, affine term structure models

35.
Downloads 334 (108,993)
Citation 31

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 334 (108,293)

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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 19
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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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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 323 (112,659)
Citation 13

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

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 322 (112,379)
Citation 18

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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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38.

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 321 (113,453)
Citation 22

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Federal Reserve, lender of last resort

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 290 (126,812)
Citation 32

Abstract:

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

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 242 (151,394)
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
Downloads 0
Citation 5
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

41.
Downloads 239 (153,739)
Citation 27

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 217 (168,219)
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 Last Revised: 08 Mar 2021
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 22 (619,738)
Citation 3

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42.
Downloads 203 (179,443)
Citation 8

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 201 (180,924)
Citation 6

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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 (783,625)
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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, EFA 2004 Maastricht Meetings
Number of pages: 28 Posted: 13 Jul 2004 Last Revised: 10 Jun 2010
Tobias Adrian
International Monetary Fund
Downloads 185 (195,241)
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 166 (214,324)

Abstract:

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financial intermediation, macro-finance, capital regulations

45.
Downloads 147 (237,119)
Citation 13

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 147 (237,727)
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.
Downloads 123 (272,451)
Citation 121

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 123 (273,580)
Citation 3

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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 105
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47.

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 120 (277,388)
Citation 4

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monetary policy, interest rates, term structure, discriminant analysis

48.

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 119 (279,112)
Citation 8

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

49.
Downloads 110 (294,973)
Citation 51

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 110 (296,589)
Citation 23

Abstract:

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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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50.

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 109 (296,945)
Citation 6

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monetary policy, financial intermediation, capital markets

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 Board of Governors of the Federal Reserve System
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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 Board of Governors of the Federal Reserve System
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Financial stability, macroprudential policy, monetary policy, financial overheating, tabletop exercise

52.

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

53.

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 90 (336,632)
Citation 6

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procyclical leverage, endogenous uncertainty, heterogenous agents

54.

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
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financial stability, monetary policy, fiscal policy, regulatory policy

55.

Multimodality in Macro-Financial Dynamics

FRB of New York Staff Report No. 903
Number of pages: 52 Posted: 20 Nov 2019 Last Revised: 05 Dec 2020
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 73 (380,762)
Citation 11

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density impulse response, multimodality, nonparametric density estimator

56.

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

57.

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
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systemic risk, banking liquidity, capital regulation, liquidity regulation

58.

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 55 (439,574)
Citation 20

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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

Discussion Papers on Business and Economics, University of Southern Denmark, 3/2021
Number of pages: 38 Posted: 22 Mar 2021
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 Last Revised: 07 Sep 2020
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

60.

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 Board of Governors of the Federal Reserve System
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financial stability, macroprudential policy, monetary policy, financial overheating, tabletop exercise

61.

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
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macroprudential policy, microprudential policy, procyclicality

62.

A Leverage-Based Measure of Financial Instability

FRB of New York Staff Report No. 688, Rev. Feb. 2021
Number of pages: 38 Posted: 29 Aug 2014 Last Revised: 23 Mar 2021
Tobias Adrian, Karol Borowiecki and Alexander Tepper
International Monetary Fund, University of Southern Denmark and Federal Reserve Bank of New York
Downloads 43 (487,574)
Citation 1

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leverage, financial crisis, financial stability, minimum market size for stability, MinMaSS, instability ratio, Long-Term Capital Management, LTCM

63.

Forecasting Macroeconomic Risks

FRB of New York Staff Report No. 914
Number of pages: 33 Posted: 21 Feb 2020
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 42 (491,907)
Citation 3

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macroeconomic uncertainty, quantile regressions, financial conditions

64.

Procyclical Leverage and Value-at-Risk

NBER Working Paper No. w18943
Number of pages: 43 Posted: 05 Apr 2013 Last Revised: 05 Apr 2021
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 32 (540,198)
Citation 52

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65.

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 Last Revised: 06 Feb 2021
Tobias Adrian, Paolo Colla and Hyun Song Shin
International Monetary Fund, Bocconi University - Department of Finance and Bank for International Settlements (BIS)
Downloads 28 (562,434)
Citation 5

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66.
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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
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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

67.

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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risk taking channel of monetary policy

68.

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

69.

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

70.

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

71.

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

FRB of New York Staff Report No. 528, Economic Theory Center Working Paper No. 36-2012
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

72.

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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73.

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