While working at the Federal Reserve, Adrian made substantial contributions to the role of financial intermediaries in
monetary policy transmission, with
Hyun-Song Shin.[7][9] He also documented how the inversion of the yield curve can be viewed as a causal transmission channel for monetary policy tightening, with Hyun-Song Shin and
Arturo Estrella [
Wikidata].[10] This is based on earlier work with Estrella that documented the forecasting power of the yield curve.[8] Adrian also worked on widely adopted yield curve models with Richard Crump and
Emanuel Moench [
Wikidata].[11]
Together with
Markus Brunnermeier of Princeton University, Adrian created one of the first measures of
systemic risk, the CoVaR.[12] This measure, which takes into account spillover and contagion effects between asset classes and industries, was used to
stress test banks following the
great recession.[13]
More recently, Adrian has studied how financial conditions present asymmetric risks to
GDP growth with
Domenico Giannone [
Wikidata] and
Nina Boyarchenko [
Wikidata].[19] This work led to a novel model for economic forecasting, under which multimodal distributions (allowing both "good" and "bad" outcomes) arise naturally under tight financial conditions.[20] With
Patrick Bolton and
Alissa Kleinnijenhuis, Adrian has conducted a first empirical study of the costs and benefits of phasing out coal around the world, and documented a large net social gain on the order of trillions.[21][22][23][24] Their work establishes a novel economic foundation for climate finance.[22][23][24][25]
Selected works
Adrian, Tobias; Shin, Hyun Song (2010). "Liquidity and leverage". Journal of Financial Intermediation. 19 (3). Elsevier BV: 418–437.
doi:
10.1016/j.jfi.2008.12.002.
ISSN1042-9573.
Adrian, Tobias; Ashcraft, Adam; Boesky, Hayley; Pozsar, Zoltan (2013).
"Shadow Banking". Economic Policy Review. 19 (2). Federal Reserve Bank of New York.
Adrian, Tobias; Brunnermeier, Markus K. (June 2016). "CoVaR". American Economic Review. 106 (7). American Economic Association: 1705–1741.
doi:
10.1257/aer.20120555.
ISSN0002-8282.
^Adrian, Tobias; Bolton, Patrick; Kleinnijenhuis, Alissa (1 June 2022).
"The Great Carbon Arbitrage". International Monetary Fund. Working Paper No. 2022/107.