Nina Boyarchenko

Federal Reserve Bank of New York

Economist

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

42

DOWNLOADS
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Top 5,047

in Total Papers Downloads

10,783

SSRN CITATIONS
Rank 1,579

SSRN RANKINGS

Top 1,579

in Total Papers Citations

550

CROSSREF CITATIONS

243

Scholarly Papers (42)

1.

No Good Deals — No Bad Models

Number of pages: 62 Posted: 22 Dec 2012 Last Revised: 17 Jul 2014
Federal Reserve Bank of New York, London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business and University of Warwick - Financial Options Research Centre (FORC)
Downloads 1,985 (10,181)
Citation 2

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good deal bounds, model-uncertainty-induced preference functional, asset pricing theory, Knightian uncertainty, model uncertainty, contingent claim pricing

2.
Downloads 1,689 ( 13,158)
Citation 1

The Overnight Drift

Number of pages: 86 Posted: 02 Mar 2020 Last Revised: 09 Sep 2021
Nina Boyarchenko, Lars Christian Larsen and Paul Whelan
Federal Reserve Bank of New York, Copenhagen Business School and Copenhagen Business School
Downloads 1,688 (12,945)
Citation 1

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overnight returns, immediacy, inventory risk, volatility risk

The Overnight Drift

Number of pages: 66 Posted: 25 Mar 2020
Nina Boyarchenko, Lars Christian Larsen and Paul Whelan
Federal Reserve Bank of New York, Copenhagen Business School and Copenhagen Business School
Downloads 1 (838,783)
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Equity Risk, Intraday Immediacy, Inventory management, Overnight Returns

3.

Ambiguity Shifts and the 2007-2008 Financial Crisis

AFA 2012 Chicago Meetings Paper
Number of pages: 92 Posted: 17 Feb 2009 Last Revised: 13 Sep 2011
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 936 (31,812)
Citation 14

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ambiguity, credit risk, credit crunch

4.
Downloads 892 ( 34,004)
Citation 76

Intermediary Leverage Cycles and Financial Stability

Becker Friedman Institute for Research in Economics Working Paper No. 2012-010
Number of pages: 65 Posted: 21 Aug 2012
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 742 (43,175)
Citation 33

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Systemic risk, macroprudential policy, DSGE, amplification, capital regulation, financial intermediation

Intermediary Leverage Cycles and Financial Stability

Number of pages: 64 Posted: 15 Aug 2012
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 150 (248,942)
Citation 49

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systemic risk, macroprudential policy, DSGE, amplification, capital regulation, financial intermediation

5.

Are Analysts Right? Macroeconomic Factors and Regime Switching in the Term Structure of Interest Rates

AFA 2009 San Francisco Meetings Paper
Number of pages: 43 Posted: 19 Mar 2008 Last Revised: 14 Mar 2010
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 456 (81,239)

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Quadratic Term Structure Models, regime switching, inflation rates, oil prices, Gibbs sampling, eigenfunction expansion

6.

Understanding Mortgage Spreads

Number of pages: 79 Posted: 29 May 2014 Last Revised: 22 Jun 2018
Nina Boyarchenko, Andreas Fuster and David O. Lucca
Federal Reserve Bank of New York, Ecole Polytechnique Fédérale de Lausanne and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 440 (84,764)
Citation 16

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agency mortgage-backed securities, option-adjusted spreads, prepayment risk, OAS smile

7.

Eigenfunction Expansion Method in Multi-Factor Models

Number of pages: 52 Posted: 01 Dec 2004
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 405 (93,341)
Citation 3

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Derivative pricing, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials

8.

The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models

Number of pages: 48 Posted: 10 Jan 2006
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 329 (117,984)
Citation 3

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Derivative pricing, swaptions, caps and floors, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials

9.

Turning Off the Tap: Determinants of Expropriation in the Energy Sector

Number of pages: 14 Posted: 20 Feb 2007
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 271 (144,736)

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Expropriation, foreign direct investment, energy sector, binary choice model

10.

On Errors and Bias of Fourier Transform Methods in Quadratic Term Structure Models

Number of pages: 29 Posted: 10 Jan 2006
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 236 (165,903)
Citation 1

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Derivative pricing, quadratic term structure models, Fourier transform, Fast Fourier transform

11.

Asymptotic Pricing in Term Structure Models Driven by Jump-Diffusions of Ornstein-Uhlenbeck Type

Number of pages: 27 Posted: 14 Mar 2006
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 222 (175,957)
Citation 2

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Term structure models, Ornstein-Uhlenbeck processes, jump diffusions, derivative pricing, eigenfunction expansion, perturbation theory, asymptotic solutions

12.

Measuring Corporate Bond Market Dislocations

Number of pages: 72 Posted: 20 Jan 2021 Last Revised: 01 Jul 2021
Nina Boyarchenko, Richard K. Crump, Anna Kovner and Or Shachar
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 196 (197,459)

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corporate bond market conditions, corporate bond spreads, corporate bond issuance, corporate bond liquidity

13.

On the Scale of Financial Intermediaries

Number of pages: 37 Posted: 06 Oct 2015
Tobias Adrian, Nina Boyarchenko and Hyun Song Shin
International Monetary Fund, Federal Reserve Bank of New York and Bank for International Settlements (BIS)
Downloads 178 (215,026)

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financial intermediation, macro-finance, capital regulations

14.

Counterparty Risk in Material Supply Contracts

Number of pages: 48 Posted: 11 Oct 2014 Last Revised: 15 Jan 2015
Nina Boyarchenko and Anna M. Costello
Federal Reserve Bank of New York and University of Michigan, Stephen M. Ross School of Business
Downloads 173 (220,305)
Citation 2

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supply contracts, finacial covenants, counterparty risk premia

The Long and Short of It: The Post-Crisis Corporate CDS Market

Number of pages: 76 Posted: 15 Feb 2019 Last Revised: 06 Aug 2019
Nina Boyarchenko, Anna M. Costello and Or Shachar
Federal Reserve Bank of New York, University of Michigan, Stephen M. Ross School of Business and Federal Reserve Bank of New York
Downloads 133 (274,218)
Citation 1

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CDS positions, CDS transactions, dealer market power

The Long and Short of It: The Post-Crisis Corporate CDS Market

Number of pages: 49 Posted: 30 Jun 2020
Nina Boyarchenko, Anna M. Costello and Or Shachar
Federal Reserve Bank of New York, University of Michigan, Stephen M. Ross School of Business and Federal Reserve Bank of New York
Downloads 37 (557,999)
Citation 4

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CDS positions, CDS transactions, dealer market power, credit default swaps, credit derivatives

The Long and Short of it: The Post-Crisis Corporate CDS Market

Number of pages: 67 Posted: 19 Feb 2019 Last Revised: 25 Feb 2019
Nina Boyarchenko, Anna M. Costello and Or Shachar
Federal Reserve Bank of New York, University of Michigan, Stephen M. Ross School of Business and Federal Reserve Bank of New York
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Citation 1
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CDS positions, CDS transactions, dealer market power

16.
Downloads 163 (231,659)
Citation 19

Bank-Intermediated Arbitrage

Number of pages: 75 Posted: 20 Jun 2018 Last Revised: 29 Jul 2020
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 162 (233,215)
Citation 22

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cost of capital, beta, bank regulation, Dodd-Frank act, banks

Bank-Intermediated Arbitrage

Number of pages: 77 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 1 (838,783)
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17.

Exit in Duopoly with Asymmetric Market Shares Under Jump-Diffusion Uncertainty

Number of pages: 28 Posted: 24 Feb 2006
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 153 (244,236)

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duopoly, real options, jump-diffusion processes, Levy processes

18.
Downloads 151 (246,979)
Citation 14

Liquidity Policies and Systemic Risk

Number of pages: 44 Posted: 12 Jan 2014
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 151 (247,563)
Citation 16

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liquidity regulation, systemic risk, DSGE, financial intermediation

Liquidity Policies and Systemic Risk

Number of pages: 49 Posted: 29 Aug 2017
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
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DSGE, Financial Intermediation, liquidity regulation, systemic risk

19.

Credit Market Choice

Number of pages: 66 Posted: 07 Aug 2018
Nina Boyarchenko, Anna M. Costello and Or Shachar
Federal Reserve Bank of New York, University of Michigan, Stephen M. Ross School of Business and Federal Reserve Bank of New York
Downloads 147 (252,387)
Citation 4

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CDS, corporate bonds, hedging, regulation, CCPs

20.

Trends in Credit Market Arbitrage

Number of pages: 32 Posted: 20 Jul 2016 Last Revised: 11 Nov 2017
Nina Boyarchenko, Pooja Gupta, Nick Steele and Jacqueline Yen
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 146 (253,791)

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CDS basis, capital requirements, M-CAPM

21.
Downloads 129 (279,415)
Citation 131

Vulnerable Growth

Number of pages: 56 Posted: 30 Sep 2016 Last Revised: 15 Nov 2017
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 129 (280,510)
Citation 3

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Downside risk, entropy, quantile regressions

Vulnerable Growth

Number of pages: 46 Posted: 24 Oct 2016
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
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Citation 105
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22.

Estimating Equations for a Class of Time-Irreversible Multi-Factor Models

Number of pages: 26 Posted: 31 Jan 2008
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 119 (296,486)

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estimating function, spectral decomposition, eigenfunctions, eigenvalues, time irreversible processes, quadratic term structure models, affine term structure models, Ornstein-Uhlenbeck process

23.

The Federal Reserve and Market Confidence

Number of pages: 57 Posted: 31 May 2016 Last Revised: 12 Sep 2017
Nina Boyarchenko, Valentin Haddad and Matthew C. Plosser
Federal Reserve Bank of New York, University of California, Los Angeles (UCLA) - Anderson School of Management and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 117 (300,022)
Citation 2

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policy announcement, risk premium, uncertainty, financial conditions

24.

Market Confidence and Monetary Policy

Number of pages: 38 Posted: 02 Dec 2015 Last Revised: 08 Dec 2015
Nina Boyarchenko, Valentin Haddad and Matthew C. Plosser
Federal Reserve Bank of New York, University of California, Los Angeles (UCLA) - Anderson School of Management and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 115 (303,769)
Citation 3

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25.
Downloads 112 (309,490)
Citation 54

Dealer Balance Sheets and Bond Liquidity Provision

Number of pages: 46 Posted: 30 Dec 2016 Last Revised: 06 Sep 2017
Tobias Adrian, Nina Boyarchenko and Or Shachar
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 112 (311,156)
Citation 23

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bond liquidity, regulation, dealer constraints

Dealer Balance Sheets and Bond Liquidity Provision

Number of pages: 48 Posted: 29 Aug 2017
Tobias Adrian, Nina Boyarchenko and Or Shachar
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
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Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets

Number of pages: 57 Posted: 22 Apr 2015
Nina Boyarchenko, David O. Lucca and Laura Veldkamp
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Columbia University - Columbia Business School
Downloads 86 (370,736)
Citation 1

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Treasury auction, primary dealers, financial intermediation, information aggregation

Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets

Number of pages: 57 Posted: 01 Aug 2016 Last Revised: 15 Nov 2021
Nina Boyarchenko, David O. Lucca and Laura Veldkamp
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Columbia University - Columbia Business School
Downloads 15 (711,885)

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Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets

Number of pages: 67 Posted: 26 Sep 2016 Last Revised: 12 Feb 2018
Nina Boyarchenko, David O. Lucca and Laura Veldkamp
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Columbia University - Columbia Business School
Downloads 1 (838,783)
Citation 1
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asymmetric information, auctions, Financial Intermediation, Treasury

27.

Intermediary Balance Sheets

Number of pages: 43 Posted: 17 Nov 2013
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 98 (338,433)
Citation 6

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procyclical leverage, endogenous uncertainty, heterogenous agents

28.
Downloads 90 (357,238)
Citation 25

Term Structures of Asset Prices and Returns

Number of pages: 46 Posted: 13 Apr 2016 Last Revised: 30 Aug 2017
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
Downloads 58 (461,458)

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entropy, coentropy, term structure, yields, excess returns

Term Structures of Asset Prices and Returns

Number of pages: 53 Posted: 11 Apr 2016 Last Revised: 23 Jul 2021
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
Downloads 32 (586,843)

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Term Structures of Asset Prices and Returns

Number of pages: 48 Posted: 18 Apr 2016
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
Downloads 0
Citation 20
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entropy; coentropy; term structure; yields; excess returns

Information Acquisition and Financial Intermediation

Number of pages: 53 Posted: 22 Sep 2012
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 49 (498,665)

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rational inattention, asset prices in intermediated economies

Information Acquisition and Financial Intermediation

Number of pages: 43 Posted: 15 Mar 2012
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 36 (563,647)

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rational inattention, disagreement, financial intermediation

30.

Multimodality in Macro-Financial Dynamics

Number of pages: 52 Posted: 20 Nov 2019 Last Revised: 05 Dec 2020
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 83 (375,359)
Citation 13

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density impulse response, multimodality, nonparametric density estimator

31.

It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities

Number of pages: 88 Posted: 21 Jul 2020 Last Revised: 10 Nov 2020
Nina Boyarchenko, Anna Kovner and Or Shachar
Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 76 (395,019)
Citation 28

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corporate credit facilities, bond liquidity, credit spreads, purchase effects

32.

It's What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities

Number of pages: 89 Posted: 11 Nov 2020
Nina Boyarchenko, Anna Kovner and Or Shachar
Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 69 (416,572)

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corporate credit facilities, bond liquidity, credit spreads, purchase effects

33.

Bank Capital and Real GDP Growth

Number of pages: 50 Posted: 08 Dec 2020
Nina Boyarchenko, Domenico Giannone and Anna Kovner
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR) and Federal Reserve Bank of New York
Downloads 58 (454,667)

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capital ratios, growth-at-risk, quantile regressions, threshold regressions

34.

Forecasting Macroeconomic Risks

Number of pages: 33 Posted: 21 Feb 2020
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 56 (462,179)
Citation 3

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macroeconomic uncertainty, quantile regressions, financial conditions

35.

Flighty Liquidity

Number of pages: 57 Posted: 23 Oct 2018 Last Revised: 17 Mar 2019
Nina Boyarchenko, Domenico Giannone and Or Shachar
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR) and Federal Reserve Bank of New York
Downloads 56 (462,179)

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corporate bond liquidity, liquidity uncertainty, quantile regressions

36.

COVID Response: The Primary and Secondary Corporate Credit Facilities

Number of pages: 35 Posted: 29 Sep 2021
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 35 (556,212)

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Federal Reserve, corporate bond markets, corporate credit facilities, PMCCF, SMCCF, Federal Reserve lending facilities

37.

The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models

Mathematical Finance, Vol. 17, No. 4, pp. 503-539, October 2007
Number of pages: 38 Posted: 14 Sep 2007
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 27 (602,323)
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38.

COVID Response: The Commercial Paper Funding Facility

Number of pages: 13 Posted: 29 Sep 2021
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 13 (702,414)

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Federal Reserve, commercial paper market, CPFF, Federal Reserve lending facilities

39.

Corporate Credit Provision

Number of pages: 53 Posted: 15 Aug 2019
Nina Boyarchenko and Philippe Mueller
Federal Reserve Bank of New York and Warwick Business School Finance Group
Downloads 3 (781,008)

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intermediated credit, leverage cycles, corporate bonds

40.

It's What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities

Number of pages: 90 Posted: 02 Dec 2020
Nina Boyarchenko, Anna Kovner and Or Shachar
Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 1 (801,963)
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41.

Forecasting Macroeconomic Risks

Number of pages: 35 Posted: 03 Mar 2020
Massachusetts Institute of Technology (MIT), International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 1 (801,963)
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42.

Multimodality in Macro-Financial Dynamics

Number of pages: 60 Posted: 28 Jul 2020 Last Revised: 21 Aug 2020
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 0 (819,276)
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