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Journal Article
The Federal Reserve’s Commercial Paper Funding Facility
Kimbrough, Karin; Marchioni, Dina; Adrian, Tobias (2011-05)
Established in the wake of Lehman Brothers? bankruptcy to stabilize severe disruptions in the commercial paper market, the Commercial Paper Funding Facility (CPFF) allowed the Federal Reserve to act as a lender of last resort for issuers of commercial paper, thereby effectively addressing temporary liquidity distortions and alleviating the severe funding stress that threatened to further exacerbate the financial crisis. In doing so, the CPFF can be considered a noteworthy model of liquidity provision in a market-based financial system, where maturity transformation occurs outside of the ...
Economic Policy Review , Volume 17 , Issue May , Pages 25-39

Report
Liquidity and leverage
Adrian, Tobias; Shin, Hyun Song (2008)
In a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, prompting financial intermediaries to adjust the size of their balance sheets. We present evidence that marked-to-market leverage is strongly procyclical and argue that such behavior has aggregate consequences. Changes in dealer repurchase agreements (repos) -the primary margin of adjustment for the aggregate balance sheets of intermediaries - forecast changes in financial market risk as measured by the innovations in the Chicago Board Options ...
Staff Reports , Paper 328

Discussion Paper
What Do Financial Conditions Tell Us about Risks to GDP Growth?
Boyarchenko, Nina; Adams, Patrick A.; http://fedora:8080/fcrepo/rest/objects/authors/; Liang, J. Nellie; Giannone, Domenico; Adrian, Tobias (2020-05-21)
The economic fallout from the COVID-19 pandemic has been sharp. Real U.S. GDP growth in the first quarter of 2020 (advance estimate) was -4.8 percent at an annual rate, the worst since the global financial crisis in 2008. Most forecasters predict much weaker growth in the second quarter, ranging widely from an annual rate of -15 percent to -50 percent as the economy pauses to allow for social distancing. Although growth is expected to begin its rebound in the third quarter absent a second wave of the pandemic, the speed of the recovery is highly uncertain. In this post, we estimate the risks ...
Liberty Street Economics , Paper 20200521

Report
Shadow banking
Ashcraft, Adam B.; Boesky, Hayley; Pozsar, Zoltan; Adrian, Tobias (2010)
The rapid growth of the market-based financial system since the mid-1980s changed the nature of financial intermediation in the United States profoundly. Within the market-based financial system, "shadow banks" are particularly important institutions. Shadow banks are financial intermediaries that conduct maturity, credit, and liquidity transformation without access to central bank liquidity or public sector credit guarantees. Examples of shadow banks include finance companies, asset-backed commercial paper (ABCP) conduits, limited-purpose finance companies, structured investment vehicles, ...
Staff Reports , Paper 458

Discussion Paper
What's Driving Dealer Balance Sheet Stagnation?
Vogt, Erik; Fleming, Michael J.; Adrian, Tobias; Stackman, Daniel (2015-08-21)
Securities brokers and dealers (“dealers”) engage in the business of trading securities on behalf of their customers and for their own account, and use their balance sheets primarily for trading operations, particularly for market making. Total financial assets of dealers in the United States have not shown any growth since 2009. This stagnation in their balance sheets raises the worry that dealers’ market-making capacity could be constrained, adversely affecting market liquidity. In this post, we investigate the stagnation of dealer balance sheets, focusing particularly on the boom and ...
Liberty Street Economics , Paper 20150821

Report
Monetary policy and financial conditions: a cross-country study
Grinberg, Federico; Duarte, Fernando M.; Mancini-Griffoli, Tommaso; Adrian, Tobias (2019-06-01)
Loose financial conditions forecast high output growth and low output volatility up to six quarters into the future, generating time-varying downside risk to the output gap, which we measure by GDP-at-Risk (GaR). This finding is robust across countries, conditioning variables, and time periods. We study the implications for monetary policy in a reduced-form New Keynesian model with financial intermediaries that are subject to a Value at Risk (VaR) constraint. Optimal monetary policy depends on the magnitude of downside risk to GDP, as it impacts the consumption-savings decision via the Euler ...
Staff Reports , Paper 890

Report
Dynamic Leverage Asset Pricing
Shin, Hyun Song; Adrian, Tobias; Moench, Emanuel (2013-08-01)
We empirically investigate predictions from alternative intermediary asset pricing theories. The theories distinguish themselves in their use of intermediary equity or leverage as pricing factors or forecasting variables. We find strong support for a parsimonious dynamic pricing model based on broker-dealer leverage as the return forecasting variable and shocks to broker-dealer leverage as a cross-sectional pricing factor. The model performs well in comparison to other intermediary asset pricing models as well as benchmark pricing models, and extends the cross-sectional results by Adrian, ...
Staff Reports , Paper 625

Discussion Paper
Central Banks and Digital Currencies
Adrian, Tobias; Lee, Michael Junho; Mancini-Griffoli, Tommaso; Martin, Antoine (2021-06-23)
Recent developments in payments technology raise important questions about the role of central banks either in providing a digital currency themselves or in supporting the development of digital currencies by private actors, as some authors of this post have discussed in a recent IMF blog post. In this post, we consider two ways a central bank could choose to become involved with digital currencies and discuss some implications of these potential choices.
Liberty Street Economics , Paper 20210623

Report
Financial vulnerability and monetary policy
Adrian, Tobias; Duarte, Fernando M. (2016-12-01)
We present a microfounded New Keynesian model that features financial vulnerabilities. Financial intermediaries' occasionally binding value-at-risk constraints give rise to variation in the pricing of risk that generates time-varying risk in the conditional mean and volatility of the output gap. The conditional mean and volatility are negatively related: during times of easy financial conditions, growth tends to be high, and risk tends to be low. Monetary policy affects output directly through the investment-savings curve, and indirectly through the pricing of risk that relates to the ...
Staff Reports , Paper 804

Report
800,000 Years of Climate Risk
Adrian, Tobias; Boyarchenko, Nina; Giannone, Domenico; Prasad, Ananthakrishnan; Seneviratne, Dulani; Xiao, Yanzhe (2022-09-01)
We use a long history of global temperature and atmospheric carbon dioxide (CO2) concentration to estimate the conditional joint evolution of temperature and CO2 at a millennial frequency. We document three basic facts. First, the temperature–CO2 dynamics are non-linear, so that large deviations in either temperature or CO2 concentrations take a long time to correct–on the scale of multiple millennia. Second, the joint dynamics of temperature and CO2 concentrations exhibit multimodality around historical turning points in temperature and concentration cycles, so that prior to the start of ...
Staff Reports , Paper 1031

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