User profiles for Asani Sarkar

asani sarkar

Financial Research Adviser, Federal Reserve Bank, NY
Verified email at ny.frb.org
Cited by 4889

An empirical analysis of stock and bond market liquidity

T Chordia, A Sarkar… - The Review of Financial …, 2005 - academic.oup.com
This article explores cross-market liquidity dynamics by estimating a vector autoregressive
model for liquidity (bid-ask spread and depth, returns, volatility, and order flow in the stock …

The effect of the term auction facility on the London interbank offered rate

J McAndrews, A Sarkar, Z Wang - Journal of Banking & Finance, 2017 - Elsevier
The Term Auction Facility (TAF), the first auction-based liquidity initiative by the Federal Reserve
during the global financial crisis, was aimed at improving conditions in the dollar money …

Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares

S Chakravarty, A Sarkar, L Wu - Journal of International Financial Markets …, 1998 - Elsevier
In contrast to most other countries, Chinese foreign class B shares trade at an average discount
of about 60% to the prices at which domestic A shares trade. We argue that one reason …

Diversification benefits of emerging markets subject to portfolio constraints

K Li, A Sarkar, Z Wang - Journal of empirical finance, 2003 - Elsevier
This paper examines the international diversification benefits subject to portfolio constraints—in
particular, constraints on short selling. We show that the international diversification …

Liquidity in US fixed income markets: A comparison of the bid-ask spread in corporate, government and municipal bond markets

S Chakravarty, A Sarkar - FRB of New York Staff Report, 1999 - papers.ssrn.com
We examine the determinants of the realized bid-ask spread in the US corporate, municipal
and government bond markets for the years 1995 to 1997, based on newly available …

Crises in developed and emerging stock markets

SA Patel, A Sarkar - Financial Analysts Journal, 1998 - Taylor & Francis
Stock market crises in the developed markets differ in important ways from the crises in
emerging stock markets. Our study of nine crises in the 1970–97 period indicates that developed …

Capital constraints, counterparty risk, and deviations from covered interest rate parity

N Coffey, WB Hrung, A Sarkar - FRB of New York Staff Report, 2009 - papers.ssrn.com
We provide robust evidence of deviations from the Covered Interest Parity (CIP) relation
since the onset of the crisis in August 2007. The CIP deviations exist with respect to different …

Discount window stigma during the 2007–2008 financial crisis

O Armantier, E Ghysels, A Sarkar, J Shrader - Journal of Financial …, 2015 - Elsevier
We provide empirical evidence for the existence, magnitude, and economic cost of stigma
associated with banks borrowing from the Federal Reserve's Discount Window (DW) during …

Trading costs in three US bond markets

S Chakravarty, A Sarkar - The Journal of Fixed Income, 2003 - search.proquest.com
Newly available transaction data are available for comparison of trading costs in the US
Treasury bond market with US corporate and municipal bond markets. The mean bid-ask spread …

Market sidedness: Insights into motives for trade initiation

A Sarkar, RA Schwartz - The Journal of Finance, 2009 - Wiley Online Library
We infer motives for trade initiation from market sidedness. We define trading as more two‐sided
(one‐sided) if the correlation between the number of buyer‐ and seller‐initiated trades …