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Keywords:Financial markets 

Journal Article
Financial innovation and monetary policy

Federal Reserve Bulletin , Issue Jul , Pages 393-400

Working Paper
Testing for contagion using correlations: some words of caution

Tests for contagion in financial returns using correlation analysis are seriously affected by the size of the noncrisis and crisis periods. Typically the crisis period contains relatively few observations, which seriously affects the power of the test.
Pacific Basin Working Paper Series , Paper 2001-09

Working Paper
Happiness maintenance and asset prices

This paper constructs a simple dynamic asset pricing model which incorporates recent evidence on the influence of immediate emotions on risk preferences. Investors derive direct utility from both consumption and financial wealth and, consistent with the happiness maintenance feature documented by Isen (1999) and others, become more cautious toward their wealth in good times. Mild pro-cyclical changes in risk aversion over wealth cause large pro-cyclical fluctuations in the current price-dividend ratio which, due to general equilibrium restrictions, translate into counter-cyclical variation in ...
Finance and Economics Discussion Series , Paper 2008-19

Conference Paper
Inflation, financial markets and capital formation - commentary

Proceedings , Volume 78 , Issue May , Pages 36-37

Working Paper
Outside versus inside bonds: a Modigliani-Miller type result for liquidity constrained economies

When agents are liquidity constrained, two options exist - sell assets or borrow. We compare the allocations arising in two economies: in one, agents can sell government bonds (outside bonds) and in the other they can borrow (issue inside bonds). All transactions are voluntary, implying no taxation or forced redemption of private debt. We show that any allocation in the economy with inside bonds can be replicated in the economy with outside bonds but that the converse is not true. However, the optimal policy in each economy makes the allocations equivalent.
Working Papers , Paper 2009-056

Journal Article
The changing U.S. financial system : some implications for the monetary transmission mechanism

An important part of monetary policy is the monetary transmission mechanism, the process by which monetary policy actions influence the economy. While the transmission mechanism involves a number of channels, including exchange rates, bank credit, and asset prices, most economists consider interest rates to be the principal avenue by which monetary policy affects economic activity.> In recent decades, significant changes in the structure of financial markets and institutions in the United States may have altered the interest rate channel. Key developments include the deregulation of the ...
Economic Review , Volume 87 , Issue Q I , Pages 5-35

Working Paper
Financial intermediaries, markets, and growth.

We build a model in which financial intermediaries provide insurance to households against a liquidity shock. Households can also invest directly on a financial market if they pay a cost. In equilibrium, the ability of intermediaries to share risk is constrained by the market. This can be beneficial because intermediaries invest less in the productive technology when they provide more risk-sharing. Our model predicts that bank-oriented economies should grow slower than more market-oriented economies, which is consistent with some recent empirical evidence. We show that the mix of ...
Working Papers , Paper 04-24

Working Paper
Volatility puzzles: a unified framework for gauging return-volatility regressions

This paper provides a simple unified framework for assessing the empirical linkages between returns and realized and implied volatilities. First, we show that whereas the volatility feedback effect as measured by the sign of the correlation between contemporaneous return and realized volatility depends importantly on the underlying structural model parameters, the correlation between return and implied volatility is unambiguously positive for all reasonable parameter configurations. Second, the lagged return-volatility asymmetry, or the leverage effect, is always stronger for implied than ...
Finance and Economics Discussion Series , Paper 2003-40

Conference Paper
Monetary policy and stock market booms

Proceedings - Economic Policy Symposium - Jackson Hole

Report
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures

Customer order flow correlates with permanent price changes in equity and non-equity markets. We examine macro news events in the thirty-year Treasury futures market to identify causality from customer flow to risk-free rates. We remove the positive feedback trading effect and establish that, in the fifteen minutes subsequent to the news, intermediaries rely on customer orders to determine a substantial part of the announcement?s effect on risk-free rates?about one-third relative to the instantaneous effect. Intermediaries appear to benefit from privately observing informed customers, since ...
Staff Reports , Paper 307

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