Erik Vogt : Citation Profile


Are you Erik Vogt?

Federal Reserve Bank of New York

3

H index

2

i10 index

53

Citations

RESEARCH PRODUCTION:

8

Papers

RESEARCH ACTIVITY:

   1 years (2016 - 2017). See details.
   Cites by year: 53
   Journals where Erik Vogt has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 1 (1.85 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pvo214
   Updated: 2020-02-22    RAS profile: 2016-08-15    
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Relations with other researchers


Works with:

Adrian, Tobias (6)

Crump, Richard (2)

Fleming, Michael (2)

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

Is cited by:

Adrian, Tobias (11)

Boyarchenko, Nina (6)

Giannone, Domenico (6)

Verani, Stephane (4)

Foley-Fisher, Nathan (4)

Shachar, Or (3)

Crump, Richard (3)

Obstfeld, Maurice (2)

Lamas, Matías (2)

Venditti, Fabrizio (2)

Roberts-Sklar, Matt (2)

Cites to:

Adrian, Tobias (12)

Campbell, John (9)

Vayanos, Dimitri (7)

Bollerslev, Tim (7)

Crump, Richard (7)

Cochrane, John (5)

Shiller, Robert (5)

Tauchen, George (5)

Bekaert, Geert (5)

Menkveld, Albert (4)

Miller, Merton (4)

Main data


Where Erik Vogt has published?


Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York7

Recent works citing Erik Vogt (2019 and 2018)


YearTitle of citing document
2019Vulnerable Growth. (2019). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:4:p:1263-89.

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2019Optimal Bookmaking. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1907.01056.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2018The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market. (2018). Jin, Jianjian ; Thompson, Jacob ; Gao, Jeffrey. In: Staff Working Papers. RePEc:bca:bocawp:18-35.

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2019Is market liquidity less resilient after the financial crisis? Evidence for us treasuries. (2019). Lamas, Matías ; Broto, Carmen. In: Working Papers. RePEc:bde:wpaper:1917.

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2017The financial stability dark side of monetary policy. (2017). Venditti, Fabrizio ; Conti, Antonio ; Alessandri, Piergiorgio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1121_17.

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2018Banks holdings of and trading in government bonds. (2018). Manna, Michele ; Nobili, Stefano. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1166_18.

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2017Safety, Liquidity, and the Natural Rate of Interest. (2017). Tambalotti, Andrea ; Giannone, Domenico ; Del Negro, Marco ; Giannoni, Marc P. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:48:y:2017:i:2017-01:p:235-316.

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2018Structural changes in banking after the crisis. (2018). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:60.

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2019Over-the-counter market liquidity and securities lending. (2019). Verani, Stephane ; Foley-Fisher, Nathan ; Gissler, Stefan. In: BIS Working Papers. RePEc:bis:biswps:768.

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2018Liquidity resilience in the UK gilt futures market: evidence from the order book. (2018). Massacci, Daniele ; Fullwood, Jonathan . In: Bank of England working papers. RePEc:boe:boeewp:0744.

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2018Would macroprudential regulation have prevented the last crisis?. (2018). Siegert, Caspar ; Bridges, Jonathan ; Aikman, David ; Siergert, Caspar ; Kashyap, Anil. In: Bank of England working papers. RePEc:boe:boeewp:0747.

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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 regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

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2018Market Structure and Transaction Costs of Index CDSs. (2018). Trolle, Anders B ; Junge, Benjamin ; Collin-Dufresne, Pierre. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1840.

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2017Intraday Market Making with Overnight Inventory Costs. (2017). Adrian, Tobias ; Zhang, Hongzhong ; Vogt, Erik ; Capponi, Agostino. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12245.

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2017Dealer Balance Sheets and Bond Liquidity Provision. (2017). Shachar, Or ; Boyarchenko, Nina ; Adrian, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12246.

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2017International liquidity. (2017). Hartmann, Philipp. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12337.

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2019Global Dimensions of U.S. Monetary Policy. (2019). Obstfeld, Maurice. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13887.

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2017Liquidity in FX spot and forward markets. (2017). Sushko, Vladyslav ; Krohn, Ingomar. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_019.

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2019The decline in idiosyncratic values of US Treasury securities. (2019). Zhou, Lei ; Wu, Yanbin ; Livingston, Miles. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:8.

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2019Banking regulation and market making. (2019). Garriott, Corey ; Cimon, David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302286.

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2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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2019Uncovered equity “disparity” in emerging markets. (2019). Phylaktis, Kate ; Fuertes, Ana-Maria ; Yan, Cheng. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:5.

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2017Dealer balance sheets and bond liquidity provision. (2017). Shachar, Or ; Boyarchenko, Nina ; Adrian, Tobias. In: Journal of Monetary Economics. RePEc:eee:moneco:v:89:y:2017:i:c:p:92-109.

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2017Customer Liquidity Provision : Implications for Corporate Bond Transaction Costs. (2017). Huh, Yesol ; Choi, Jaewon. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-116.

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2019Over-the-Counter Market Liquidity and Securities Lending. (2019). Verani, Stephane ; Foley-Fisher, Nathan ; Gissler, Stefan. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-11.

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2018Monetary Policy Influences on Global Financial Conditions and International Capital Flows : a speech at Challenges for Monetary Policy and the GFSN in an Evolving Global Economy Eighth High-Level Conf. (2018). Powell, Jerome H. In: Speech. RePEc:fip:fedgsq:1000.

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2018Review of New York Fed studies on the effects of post-crisis banking reforms. (2018). santos, joao ; Crump, Richard. In: Economic Policy Review. RePEc:fip:fednep:00050.

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2017Vulnerable growth. (2017). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:794.

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2017Dealer balance sheets and bond liquidity provision. (2017). Shachar, Or ; Boyarchenko, Nina ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:803.

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2018Changing risk-return profiles. (2018). Hundtofte, C. ; Giannone, Domenico ; Crump, Richard. In: Staff Reports. RePEc:fip:fednsr:850.

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2018Relative pricing and risk premia in equity volatility markets. (2018). Van Tassel, Peter. In: Staff Reports. RePEc:fip:fednsr:867.

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2019Deconstructing the yield curve. (2019). Gospodinov, Nikolay ; Crump, Richard. In: Staff Reports. RePEc:fip:fednsr:884.

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2018“Scaling Down Downside Risk with Inter-Quantile Semivariances”. (2018). Uribe, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201826.

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2017Is Post-Crisis Bond Liquidity Lower?. (2017). Anderson, Mike ; Stulz, Rene M. In: NBER Working Papers. RePEc:nbr:nberwo:23317.

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2019Global Dimensions of U.S. Monetary Policy. (2019). Obstfeld, Maurice. In: NBER Working Papers. RePEc:nbr:nberwo:26039.

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20172017 Financial Stability Report. (2017). . In: Reports. RePEc:ofr:report:17-2.

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2018The OFR Financial System Vulnerabilities Monitor. (2018). Palmer, Nathan ; Parolin, Eric ; Minson, Adam ; McLaughlin, Joe. In: Working Papers. RePEc:ofr:wpaper:18-01.

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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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2018Notes on Bonds: Illiquidity Feedback During the Financial Crisis. (2018). Musto, David ; Schwarz, Krista ; Nini, Greg. In: Review of Financial Studies. RePEc:oup:rfinst:v:31:y:2018:i:8:p:2983-3018..

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2019Global Price of Risk and Stabilization Policies. (2019). Adrian, Tobias ; Vogt, Erik ; Stackman, Daniel. In: IMF Economic Review. RePEc:pal:imfecr:v:67:y:2019:i:1:d:10.1057_s41308-019-00075-3.

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2019Over-the-Counter Market Liquidity and Securities Lending. (2019). Verani, Stephane ; Foley-Fisher, Nathan ; Gissler, Stefan. In: Review of Economic Dynamics. RePEc:red:issued:18-283.

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2017Variance Risk Premia on Stocks and Bonds. (2017). Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul ; Sabtchevsky, Petar. In: 2017 Meeting Papers. RePEc:red:sed017:1161.

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2017Vulnerable Growth. (2017). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: 2017 Meeting Papers. RePEc:red:sed017:1317.

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2018Over-the-counter market liquidity and securities lending. (2018). Verani, Stephane ; Foley-Fisher, Nathan ; Gissler, Stefan. In: 2018 Meeting Papers. RePEc:red:sed018:786.

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2018Lighting up the dark: Liquidity in the German corporate bond market. (2018). Schneider, Michael ; Pelizzon, Loriana ; Gündüz, Yalin ; Subrahmanyam, Marti G ; Ottonello, Giorgio ; Gunduz, Yalin. In: SAFE Working Paper Series. RePEc:zbw:safewp:230.

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Works by Erik Vogt:


YearTitleTypeCited
2016Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds In: CEPR Discussion Papers.
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paper17
2016Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds.(2016) In: Staff Reports.
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This paper has another version. Agregated cites: 17
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2016Option-implied term structures In: Staff Reports.
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2016Global price of risk and stabilization policies In: Staff Reports.
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2016Global variance term premia and intermediary risk appetite In: Staff Reports.
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2016Market liquidity after the financial crisis In: Staff Reports.
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2019Intraday market making with overnight inventory costs In: Staff Reports.
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2017An index of Treasury Market liquidity: 1991-2017 In: Staff Reports.
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