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Report
The Federal Reserve's Commercial Paper Funding Facility
Kimbrough, Karin; Marchioni, Dina; Adrian, Tobias (2010)
The Federal Reserve created the Commercial Paper Funding Facility (CPFF) in the midst of severe disruptions in money markets following the bankruptcy of Lehman Brothers on September 15, 2008. The CPFF finances the purchase of highly rated unsecured and asset-backed commercial paper from eligible issuers via primary dealers. The facility is a liquidity backstop to U.S. issuers of commercial paper, and its creation was part of a range of policy actions undertaken by the Federal Reserve to provide liquidity to the financial system. This paper documents aspects of the financial crisis relevant to ...
Staff Reports , Paper 423

Discussion Paper
Market Liquidity after the Financial Crisis
Adrian, Tobias; Shachar, Or; Fleming, Michael J. (2017-06-28)
The possible adverse effects of regulation on market liquidity in the post-crisis period continue to garner significant attention. In a recent paper, we update and unify much of our earlier work on the subject, following up on three series of earlier Liberty Street Economics posts in August 2015, October 2015, and February 2016. We find that dealer balance sheets have continued to stagnate and that various measures point to less abundant funding liquidity. Nonetheless, we do not find clear evidence of a widespread deterioration in market liquidity.
Liberty Street Economics , Paper 20170628

Report
The shadow banking system: implications for financial regulation
Shin, Hyun Song; Adrian, Tobias (2009-07-01)
The current financial crisis has highlighted the growing importance of the "shadow banking system," which grew out of the securitization of assets and the integration of banking with capital market developments. This trend has been most pronounced in the United States, but it has had a profound influence on the global financial system. In a market-based financial system, banking and capital market developments are inseparable: Funding conditions are closely tied to fluctuations in the leverage of market-based financial intermediaries. Growth in the balance sheets of these intermediaries ...
Staff Reports , Paper 382

Report
Discussion of “Systemic Risk and the Solvency-Liquidity Nexus of Banks”
Adrian, Tobias (2015-04-01)
Pierret (2015) presents empirical analysis of the solvency-liquidity nexus for the banking system, documenting that a shock to the level of banks? solvency risk is followed by lower short-term debt. Conversely, higher short-term debt Granger-causes higher solvency risk. These results point toward a tight interaction between solvency and liquidity risk over time. My comments are threefold. First, I suggest improving the identification of shocks in Pierret?s vector autoregressive setup. Second, I caution against using the quantitative results as the basis for setting policy. Third, I recommend ...
Staff Reports , Paper 722

Discussion Paper
Has U.S. Treasury Market Liquidity Deteriorated?
Vogt, Erik; Fleming, Michael J.; Adrian, Tobias; Stackman, Daniel (2015-08-17)
The issue of financial market liquidity has received tremendous attention lately. This partly arises from market participants' concerns that regulatory and structural changes have reduced dealers' market making abilities, but also from events such as the taper tantrum and the flash rally, in which Treasury prices fluctuated sharply amid seemingly little news. But is there really evidence of a sustained reduction in Treasury market liquidity?
Liberty Street Economics , Paper 20150817

Journal Article
Liquidity, monetary policy, and financial cycles
Adrian, Tobias; Shin, Hyun Song (2008-01)
A close look at how financial intermediaries manage their balance sheets suggests that these institutions raise their leverage during asset price booms and lower it during downturns - pro-cyclical actions that tend to exaggerate the fluctuations of the financial cycle. The authors of this study argue that the growth rate of aggregate balance sheets may be the most fitting measure of liquidity in a market-based financial system. Moreover, the authors show a strong correlation between balance sheet growth and the easing and tightening of monetary policy.
Current Issues in Economics and Finance , Volume 14 , Issue Jan

Conference Paper
Financial intermediaries, financial stability and monetary policy
Adrian, Tobias; Shin, Hyun Song (2008)
Proceedings - Economic Policy Symposium - Jackson Hole

Discussion Paper
Continuing the Conversation on Liquidity
Adrian, Tobias; Schaumburg, Ernst; Fleming, Michael J. (2016-02-08)
Market participants and policymakers have raised concerns about market liquidity?the ability to buy and sell securities quickly, at any time, at minimal cost. Market liquidity supports the efficient allocation of financial capital, which is a catalyst for sustainable economic growth. Any possible decline in market liquidity, whether due to regulation or otherwise, is of interest to policymakers and market participants alike.
Liberty Street Economics , Paper 20160208b

Discussion Paper
Introduction to a Series on Market Liquidity
Adrian, Tobias; Schaumburg, Ernst; Fleming, Michael J. (2015-08-17)
Market participants and policymakers have recently raised concerns about market liquidity?the ability to buy and sell securities quickly, at any time, at minimal cost. Market liquidity supports the efficient allocation of capital through financial markets, which is a catalyst for sustainable economic growth. Changes in market liquidity, whether due to regulation, changes in market structure, or otherwise, are therefore of great interest to policymakers and market participants alike.
Liberty Street Economics , Paper 20150817

Report
Risk appetite and exchange Rates
Shin, Hyun Song; Etula, Erkko; Adrian, Tobias (2009)
We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global banking model where exchange rates fluctuate as a function of banks? balance sheet capacity. We estimate prices of risk using a cross-sectional asset pricing approach and show that the U.S. dollar funding liquidity forecasts exchange rates because of its association with time-varying risk premia. Our ...
Staff Reports , Paper 361

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