The Capital Markets Function specializes in research on asset pricing, market microstructure, and other financial market topics, focusing on such issues as market liquidity, announcement effects, the links between financial markets and economic fundamentals, and technical aspects of pricing and trading securities and derivatives. A close working relationship with the Bank’s Trading Desk, well-established contacts with market participants, and strong ties to business school finance departments create a unique environment to conduct financial markets research. A recent conference organized by Capital Markets examined the interaction between market liquidity and funding liquidity in financial markets and institutions.

• the term structure of interest rates as a predictor of the business cycle,
• the information content of Federal Open Market Committee (FOMC) minutes,
• the effect of FOMC announcements on the U.S. Treasury market,
• the role of liquidity in explaining corporate bond credit spreads,
• estimation of risk premia in stock and bond markets,
• price discovery in the foreign currency spot and futures markets,
• analysis of Treasury dealer position management,
• the tail risk of hedge funds and other financial institutions, and
• the link between financial institutions’ balance sheets and financial market liquidity.

To learn more about joining the Research Group: www.newyorkfed.org/careers/phd.html.

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