|
EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/60918
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Adrian, Tobias | | en_US |
| dc.contributor.author | | Shin, Hyun Song | | en_US |
| dc.date.accessioned | | 2010-04-21 | | en_US |
| dc.date.accessioned | | 2012-08-17T14:37:31Z | | - |
| dc.date.available | | 2012-08-17T14:37:31Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/60918 | | - |
| dc.description.abstract | | In 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_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Federal Reserve Bank of New York New York, NY | | en_US |
| dc.relation.ispartofseries | | Staff Report, Federal Reserve Bank of New York 328 | | en_US |
| dc.subject.jel | | E32 | | en_US |
| dc.subject.jel | | E44 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.jel | | G20 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Financial market liquidity | | en_US |
| dc.subject.keyword | | financial cycles | | en_US |
| dc.subject.keyword | | financial intermediary leverage | | en_US |
| dc.title | | Liquidity and leverage | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 587545496 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|