Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60918 
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dc.contributor.authorAdrian, Tobiasen
dc.contributor.authorShin, Hyun Songen
dc.date.accessioned2010-04-21-
dc.date.accessioned2012-08-17T14:37:31Z-
dc.date.available2012-08-17T14:37:31Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/60918-
dc.description.abstractIn a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, eliciting responses from financial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is strongly procyclical. Such behavior has aggregate consequences. Changes in dealer 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 Exchange Volatility Index (VIX). Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of the financial intermediaries.en
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x328en
dc.subject.jelE32en
dc.subject.jelE44en
dc.subject.jelG10en
dc.subject.jelG20en
dc.subject.ddc330en
dc.subject.keywordFinancial market liquidityen
dc.subject.keywordfinancial cyclesen
dc.subject.keywordfinancial intermediary leverageen
dc.titleLiquidity and leverage-
dc.typeWorking Paperen
dc.identifier.ppn587545496en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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