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US Treasury Market Functioning from the GFC to the Pandemic
daily Treasury repo market financing averaged more than $5 trillion and...daily US Treasury futures trading averaged about $775 billion in notional |
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CRISK: Measuring the Climate Risk Exposure of the Financial System
equity loss conditional on a climate stress event, which is calculated...equity portfolio designed to decline in value as climate risk rises. To |
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CRISK: Measuring the Climate Risk Exposure of the Financial System
equity loss conditional on a climate stress event, which is calculated...equity portfolio designed to decline in value as climate risk rises. To |
4. |
Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds
Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds Brandyn Bok | Thomas M. Mertens | John C. Williams NO. 1011 APRIL 2022 |
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Climate Regulatory Risks and Corporate Bonds
equity and debt, but as pointed out by Campbell and Taksler (2003), volatility...volatility can increase the optionality of a company’s equity, adding |
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Equity Volatility Term Premia - Liberty Street Economics
volatility forecasts and estimates of expected returns (“equity volatility...volatility term premia (“equity volatility term premia”) from a new term-structure |
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Monetary Policy, Investor Flows, and Loan Fund Fragility
equity investments. Monetary policy easing, in fact, leads to “risk on...volatility, and tighter equity premia (Bernanke and Kuttner, 2005; Bauer |
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The Law of One Price in Equity Volatility Markets - Liberty Street Economics
Equity Volatility Markets Peter Van Tassel and Charles Smith Can option...equity volatility market appears unable to take a square root at times |
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Tradeoffs for the Poor, Divine Coincidence for the Rich
volatility for households with different wealth levels, and how this volatility...volatility for each group households against the volatility of aggregate |
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The Overnight Drift in U.S. Equity Returns - Liberty Street Economics
daily regression of opening returns on the preceding overnight drift returns...Asian financial markets as trading during Asian market hours has increased |