Nina Boyarchenko : Citation Profile


Are you Nina Boyarchenko?

Federal Reserve Bank of New York

10

H index

10

i10 index

325

Citations

RESEARCH PRODUCTION:

11

Articles

68

Papers

RESEARCH ACTIVITY:

   13 years (2007 - 2020). See details.
   Cites by year: 25
   Journals where Nina Boyarchenko has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 22 (6.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo573
   Updated: 2020-10-24    RAS profile: 2020-08-31    
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Relations with other researchers


Works with:

Shachar, Or (20)

Adrian, Tobias (18)

Giannone, Domenico (10)

Lucca, David (9)

Veldkamp, Laura (5)

Chernov, Mikhail (5)

Kovner, Anna (4)

Van Tassel, Peter (3)

Eisenbach, Thomas (3)

Plosser, Matthew (2)

Fuster, Andreas (2)

Crump, Richard (2)

Backus, David (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Nina Boyarchenko.

Is cited by:

Adrian, Tobias (23)

Rey, Helene (7)

Crump, Richard (6)

Farmer, J. (6)

Shin, Hyun Song (6)

Tambalotti, Andrea (6)

Timmer, Yannick (5)

He, Zhiguo (5)

Wouters, Raf (4)

Van Nieuwerburgh, Stijn (4)

Jorda, Oscar (4)

Cites to:

Adrian, Tobias (20)

Hansen, Lars (12)

Sargent, Thomas (11)

Trojani, Fabio (9)

Epstein, Larry (9)

Shachar, Or (9)

Shin, Hyun Song (9)

vanini, paolo (8)

Giannone, Domenico (6)

Gambacorta, Leonardo (6)

Pedersen, Lasse (5)

Main data


Where Nina Boyarchenko has published?


Journals with more than one article published# docs
Economic Policy Review3
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York23
Liberty Street Economics / Federal Reserve Bank of New York19
2015 Meeting Papers / Society for Economic Dynamics4
2017 Meeting Papers / Society for Economic Dynamics2

Recent works citing Nina Boyarchenko (2020 and 2019)


YearTitle of citing document
2019Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models. (2019). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:1912.06948.

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2019Bank foreign currency funding and currency markets: the case of Mexico post GFC. (2019). Georgia, Bush. In: Working Papers. RePEc:bdm:wpaper:2019-01.

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2020Monetary Momentum. (2020). Weber, Michael ; Neuhierl, Andreas. In: Working Papers. RePEc:bfi:wpaper:2020-39.

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2020Market Making and Proprietary Trading in the US Corporate Bond Market. (2020). Dastarac, Hugues. In: Working papers. RePEc:bfr:banfra:754.

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2019MANAGING RISK TAKING WITH INTEREST RATE POLICY AND MACROPRUDENTIAL REGULATIONS. (2019). Shukayev, Malik ; Cociuba, Simona ; Ueberfeldt, Alexander. In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:2:p:1056-1081.

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2019Banks are not intermediaries of loanable funds — facts, theory and evidence. (2018). Kumhof, Michael ; Jakab, Zoltán. In: Bank of England working papers. RePEc:boe:boeewp:0761.

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2019Currency mispricing and dealer balance sheets. (2019). Cenedese, Gino ; Wang, Tianyu ; Della Corte, Pasquale. In: Bank of England working papers. RePEc:boe:boeewp:0779.

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2019The cost of clearing fragmentation. (2019). Menkveld, Albert ; Vasios, Michalis ; Huang, Wenqian ; Benos, Evangelos. In: Bank of England working papers. RePEc:boe:boeewp:0800.

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2019Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales. (2019). Silvestri, Laura ; Douglas, Graeme ; Baranova, Yuliya. In: Bank of England working papers. RePEc:boe:boeewp:0803.

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2019Credit default swaps and corporate bond trading. (2019). Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0810.

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2019Resilience of trading networks: evidence from the sterling corporate bond market. (2019). Roberts-Sklar, Matt ; Silvestri, Laura ; Mallaburn, David. In: Bank of England working papers. RePEc:boe:boeewp:0813.

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2019A structural model of interbank network formation and contagion. (2019). Coen, Patrick. In: Bank of England working papers. RePEc:boe:boeewp:0833.

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2019The FOMC Risk Shift. (2019). Schrimpf, Andreas ; Kroencke, Tim ; Schmeling, Maik. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14037.

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2019A Theory of Participation in OTC and Centralized Markets. (2019). Weill, Pierre-Olivier ; Uslu, Semih ; Dugast, Jerome. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14258.

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2019Determinants of banks liquidity : a French perspective on market and regulatory ratio interactions. (2019). Pouvelle, Cyril ; DE BANDT, OLIVIER ; Lecarpentier, Sandrine. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-18.

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2019An analytical method for the solution of two phase Stefan problem in cylindrical geometry. (2019). Khalid, Muhammad Zeeshan ; Zubair, Muhammad. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:342:y:2019:i:c:p:295-308.

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2020Modeling non-normal corporate bond yield spreads by copula. (2020). Jung, Hojin ; Kim, Dong H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301078.

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2020Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

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2020The leverage ratio and liquidity in the gilt and gilt repo markets. (2020). Elliott, David ; Bicu-Lieb, Andreea ; Chen, Louisa. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118302039.

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2020The effect of supply chain power on bank financing. (2020). Rau, Raghavendra ; al Zaman, Ashraf ; Rahaman, Mohammad M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300698.

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2019Information aggregation in a financial market with general signal structure. (2019). Ray, Debraj ; Parsa, Sahar ; Lou, Youcheng ; Wang, Shouyang ; Li, Duan. In: Journal of Economic Theory. RePEc:eee:jetheo:v:183:y:2019:i:c:p:594-624.

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2019Time-varying ambiguity, credit spreads, and the levered equity premium. (2019). Shi, Zhan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:617-646.

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2020Show me the money: The monetary policy risk premium. (2020). Ozdagli, Ali ; Velikov, Mihail. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:320-339.

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2020Procyclical leverage in Europe and its role in asset pricing. (2020). Reitz, Stefan ; Koehl, Alexandra ; Baltzer, Markus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:107:y:2020:i:c:s0261560620301765.

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2019Are market views on banking industry useful for forecasting economic growth?. (2019). Zhao, LU ; Ye, Xiaoxia ; Lai, Van Son. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x18301719.

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2019Ambiguity and capital structure adjustments. (2019). Chen, Chang-Chih ; Ban, Mingyuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:242-270.

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2019Banks as Regulated Traders. (2019). Falato, Antonio ; Zikes, Filip ; Iercosan, Diana A. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-05.

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2020The Hedging Channel of Exchange Rate Determination. (2020). Zhang, Tony ; Liao, Gordon Y. In: International Finance Discussion Papers. RePEc:fip:fedgif:1283.

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2020Anatomy of Corporate Credit Spreads: The Great Recession vs. COVID-19. (2020). Kozlowski, Julian ; Faria, Miguel ; Ebsim, Mahdi. In: Working Papers. RePEc:fip:fedlwp:88871.

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2019Bank liquidity provision and Basel liquidity regulations. (2018). Shachar, Or ; Sarkar, Asani ; Roberts, Daniel . In: Staff Reports. RePEc:fip:fednsr:852.

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2019Robust inference in models identified via heteroskedasticity. (2018). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:876.

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2020Cash-Forward Arbitrage and Dealer Capital in MBS Markets: COVID-19 and Beyond ves. (2020). SONG, ZHAOGANG ; Sarkar, Asani ; Liu, Haoyang ; Chen, Jiakai. In: Staff Reports. RePEc:fip:fednsr:88380.

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2019Monetary policy and financial conditions: a cross-country study. (2019). Duarte, Fernando ; Adrian, Tobias ; Mancini-Griffoli, Tommaso ; Grinberg, Federico. In: Staff Reports. RePEc:fip:fednsr:890.

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2020Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions. (2020). Zeldea, Cristina. In: Administrative Sciences. RePEc:gam:jadmsc:v:10:y:2020:i:3:p:52-:d:396470.

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2020Understanding Financial Fluctuations and Their Relation to Macroeconomic Stability. (2017). Pagliacci, Carolina ; Guarata, Nora . In: IDB Publications (Working Papers). RePEc:idb:brikps:8332.

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2019The Term Structures of Coentropy in International Financial Markets. (2019). Colacito, Riccardo ; Chabi-Yo, Fousseni. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:8:p:3541-3558.

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2019Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior. (2019). Li, Lingfei ; Zhang, Gongqiu. In: Operations Research. RePEc:inm:oropre:v:67:y:2019:i:2:p:407-427.

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2019How Big are the Ambiguity-Based Premiums on Mortgage Insurances?. (2019). Chen, Chang-Chih ; Chang, Chia-Chien. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:58:y:2019:i:1:d:10.1007_s11146-016-9569-9.

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2019A macroeconomic model with heterogeneous and financially-constrained intermediaries. (2019). Wouters, Raf ; Lejeune, Thomas. In: Working Paper Research. RePEc:nbb:reswpp:201902-367.

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2019Negative Swap Spreads and Limited Arbitrage. (2019). Jermann, Urban. In: NBER Working Papers. RePEc:nbr:nberwo:25422.

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2019A Theory of Participation in OTC and Centralized Markets. (2019). Weill, Pierre-Olivier ; Üslü, Semih ; Dugast, Jérôme. In: NBER Working Papers. RePEc:nbr:nberwo:25887.

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2019Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress. (2019). He, Zhiguo ; Song, Zhaogang ; Khorrami, Paymon. In: NBER Working Papers. RePEc:nbr:nberwo:26494.

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2020Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). Nagel, Stefan ; He, Zhiguo ; Song, Zhaogang. In: NBER Working Papers. RePEc:nbr:nberwo:27416.

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2020Credit Booms, Financial Crises and Macroprudential Policy. (2020). prestipino, andrea ; Gertler, Mark ; Kiyotaki, Nobuhiro. In: NBER Working Papers. RePEc:nbr:nberwo:27481.

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2019Market-Making Costs and Liquidity: Evidence from CDS Markets. (2019). Paddrik, Mark ; Tompaidis, Stathis. In: Working Papers. RePEc:ofr:wpaper:19-01.

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2019The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption. (2019). Watugala, Sumudu ; Munyan, Benjamin ; Cetina, Jill ; Allahrakha, Meraj. In: Working Papers. RePEc:ofr:wpaper:19-02.

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2019Do reserve requirements reduce the risk of bank failure?. (2019). Glocker, Christian. In: MPRA Paper. RePEc:pra:mprapa:95634.

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2019Australian Money Market Divergence: Arbitrage Opportunity or Illusion?. (2019). Printant, Sebastien ; Cheung, Belinda . In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2019-09.

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2019Uncertainty, Pessimism and Economic Fluctuations. (2019). Pei, Guangyu . In: 2019 Meeting Papers. RePEc:red:sed019:1494.

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2020Ambiguous Business Cycles: A Quantitative Assessment. (2020). Ozsoylev, Han ; Mukerji, Sujoy ; Collard, Fabrice ; Çakmaklı, Cem ; Altug, Sumru ; Cakmakli, Cem . In: TSE Working Papers. RePEc:tse:wpaper:124312.

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2020Essays on Forecasting. (2020). Pacella, Claudia. In: ULB Institutional Repository. RePEc:ulb:ulbeco:2013/307579.

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2019Procyclical leverage in Europe and its role in asset pricing. (2019). Reitz, Stefan ; Koehl, Alexandra ; Baltzer, Markus. In: Discussion Papers. RePEc:zbw:bubdps:102019.

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2020Does monetary policy impact international market co-movements?. (2020). Pelizzon, Loriana ; Caporin, Massimiliano ; Plazzi, Alberto. In: SAFE Working Paper Series. RePEc:zbw:safewp:276.

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Works by Nina Boyarchenko:


YearTitleTypeCited
2019Vulnerable Growth In: American Economic Review.
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article17
2016Vulnerable Growth.(2016) In: CEPR Discussion Papers.
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2018Vulnerable Growth.(2018) In: Liberty Street Economics.
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2017Vulnerable growth.(2017) In: Staff Reports.
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2017Vulnerable Growth.(2017) In: 2017 Meeting Papers.
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This paper has another version. Agregated cites: 17
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2007THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS In: Mathematical Finance.
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article15
2016Term structures of asset prices and returns In: CEPR Discussion Papers.
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paper10
2018Term structures of asset prices and returns.(2018) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 10
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2016Term structures of asset prices and returns.(2016) In: Staff Reports.
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This paper has another version. Agregated cites: 10
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2016Term Structures of Asset Prices and Returns.(2016) In: NBER Working Papers.
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This paper has another version. Agregated cites: 10
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2016Term structures of asset prices and returns.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 10
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2016Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets In: CEPR Discussion Papers.
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paper4
2016Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets.(2016) In: NBER Working Papers.
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This paper has another version. Agregated cites: 4
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2017Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets.(2017) In: 2017 Meeting Papers.
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2017Dealer Balance Sheets and Bond Liquidity Provision In: CEPR Discussion Papers.
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paper31
2017Dealer balance sheets and bond liquidity provision.(2017) In: Journal of Monetary Economics.
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2017Dealer balance sheets and bond liquidity provision.(2017) In: Staff Reports.
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2017Liquidity Policies and Systemic Risk In: CEPR Discussion Papers.
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2018Liquidity policies and systemic risk.(2018) In: Journal of Financial Intermediation.
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This paper has another version. Agregated cites: 14
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2014Liquidity Policies and Systemic Risk.(2014) In: Liberty Street Economics.
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2014Liquidity policies and systemic risk.(2014) In: Staff Reports.
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2014Liquidity Policies and Systemic Risk.(2014) In: 2014 Meeting Papers.
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2019The Long and Short of It: The Post-Crisis Corporate CDS Market In: CEPR Discussion Papers.
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2020The Long and Short of It: The Post-Crisis Corporate CDS Market.(2020) In: Economic Policy Review.
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This paper has another version. Agregated cites: 0
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2019The Long and Short of It: The Post-Crisis Corporate CDS Market.(2019) In: Staff Reports.
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This paper has another version. Agregated cites: 0
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2020Forecasting Macroeconomic Risks In: CEPR Discussion Papers.
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2020Forecasting Macroeconomic Risks.(2020) In: Staff Reports.
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This paper has another version. Agregated cites: 0
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2020The Overnight Drift In: CEPR Discussion Papers.
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2020The Overnight Drift.(2020) In: Staff Reports.
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This paper has another version. Agregated cites: 0
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2013No Good Deals - No Bad Models In: SIRE Discussion Papers.
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2014No Good Deals—No Bad Models.(2014) In: Liberty Street Economics.
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This paper has another version. Agregated cites: 2
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2012No good deals—no bad models.(2012) In: Staff Reports.
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2013No Good Deals - No Bad Models.(2013) In: Working Papers.
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2012Ambiguity shifts and the 2007–2008 financial crisis In: Journal of Monetary Economics.
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article26
2018Negative swap spreads In: Economic Policy Review.
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2018Trends in credit basis spreads In: Economic Policy Review.
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2020The Evolving Market for U.S. Sovereign Credit Risk In: Liberty Street Economics.
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2020What’s in A(AA) Credit Rating? In: Liberty Street Economics.
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2013Intermediary Leverage Cycles and Financial Stability In: Liberty Street Economics.
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paper126
2015Intermediary leverage cycles and financial stability.(2015) In: Staff Reports.
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2015Counterparty Risk in Material Supply Contracts In: Liberty Street Economics.
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2014Counterparty risk in material supply contracts.(2014) In: Staff Reports.
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This paper has another version. Agregated cites: 1
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2015Counterparty Risk in Material Supply Contracts.(2015) In: 2015 Meeting Papers.
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2015Have Dealers Strategies in the GCF Repo® Market Changed? In: Liberty Street Economics.
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2015The Effect of Fed Funds Rate Hikes on Consumer Borrowing Costs In: Liberty Street Economics.
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2017Trends in Arbitrage-Based Measures of Bond Liquidity In: Liberty Street Economics.
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2017Credit Market Arbitrage and Regulatory Leverage In: Liberty Street Economics.
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2017Dealer Balance Sheets and Corporate Bond Liquidity Provision In: Liberty Street Economics.
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2018Liquidity Effects of Post-Crisis Regulatory Reform In: Liberty Street Economics.
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2018Credit Market Choice In: Liberty Street Economics.
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2018Credit market choice.(2018) In: Staff Reports.
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This paper has another version. Agregated cites: 3
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2019Credit Market Choice.(2019) In: 2019 Meeting Papers.
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2018Bank-Intermediated Arbitrage In: Liberty Street Economics.
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2018Bank-intermediated arbitrage.(2018) In: Staff Reports.
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This paper has another version. Agregated cites: 5
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2020The Commercial Paper Funding Facility In: Liberty Street Economics.
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2020What Do Financial Conditions Tell Us about Risks to GDP Growth? In: Liberty Street Economics.
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2020The Primary and Secondary Market Corporate Credit Facilities In: Liberty Street Economics.
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2020The Impact of the Corporate Credit Facilities In: Liberty Street Economics.
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2014Information acquisition and financial intermediation In: Staff Reports.
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2013Intermediary balance sheets In: Staff Reports.
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2015Intermediary Balance Sheets.(2015) In: 2015 Meeting Papers.
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2017Understanding mortgage spreads In: Staff Reports.
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2019Understanding Mortgage Spreads.(2019) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 14
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2016Taking orders and taking notes: dealer information sharing in financial markets In: Staff Reports.
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paper5
2016Taking Orders and Taking Notes: Dealer Information Sharing in Financial Markets.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 5
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2018Taking Orders and Taking Notes: Dealer Information Sharing in Financial Markets.(2018) In: Working Papers.
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This paper has another version. Agregated cites: 5
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2016On the scale of financial intermediaries In: Staff Reports.
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2017The Federal Reserve and market confidence In: Staff Reports.
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2018Federal Reserve and Market Confidence.(2018) In: 2018 Meeting Papers.
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This paper has another version. Agregated cites: 10
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2016Trends in credit market arbitrage In: Staff Reports.
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2019Flighty liquidity In: Staff Reports.
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2020It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities In: Staff Reports.
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2019Corporate Credit Provision In: Staff Reports.
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2019Multimodality in Macro-Financial Dynamics In: Staff Reports.
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2009Ambiguity, Information Quality and Credit Risk In: 2009 Meeting Papers.
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2015Credit Risk and Interdealer Networks In: 2015 Meeting Papers.
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2015Intermediaries as Information Aggregators In: 2015 Meeting Papers.
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2016Ambiguous Trade-offs: An Application to Climate Change In: 2016 Meeting Papers.
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2007ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article2

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