Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60918
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dc.contributor.authorAdrian, Tobiasen_US
dc.contributor.authorShin, Hyun Songen_US
dc.date.accessioned2010-04-21en_US
dc.date.accessioned2012-08-17T14:37:31Z-
dc.date.available2012-08-17T14:37:31Z-
dc.date.issued2008en_US
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_US
dc.language.isoengen_US
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen_US
dc.relation.ispartofseries|aStaff Report, Federal Reserve Bank of New York |x328en_US
dc.subject.jelE32en_US
dc.subject.jelE44en_US
dc.subject.jelG10en_US
dc.subject.jelG20en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial market liquidityen_US
dc.subject.keywordfinancial cyclesen_US
dc.subject.keywordfinancial intermediary leverageen_US
dc.titleLiquidity and leverageen_US
dc.typeWorking Paperen_US
dc.identifier.ppn587545496en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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