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Li, Dan; Schurhoff, Norman - Federal Reserve Board (Board of Governors of the … - 2014

, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …

Persistent link: https://www.econbiz.de/10011095300

The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors

D'Amico, Stefania; Fan, Roger; Kitsul, Yuriy - Federal Reserve Board (Board of Governors of the … - 2014

In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....

Persistent link: https://www.econbiz.de/10010892306

Flights to Safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …

Persistent link: https://www.econbiz.de/10010787051

Financial Fire Sales: Evidence from Bank Failures

Ramcharan, Rodney; Rajan, Raghuram G. - Federal Reserve Board (Board of Governors of the … - 2014

of financial assets. Forced sales of the intermediary's assets could consume liquidity, depressing the liquidation value …

Persistent link: https://www.econbiz.de/10010892300

Modeling Money Market Spreads: What Do We Learn about Refinancing Risk?

Brousseau, Vincent; Nikolaou, Kleopatra; Pill, Huw - Federal Reserve Board (Board of Governors of the … - 2014

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the … borrow over a given horizon, thus increasing refinancing risk. We measure refinancing risk by quantifying the sensitivity of … frequency. Results suggest that refinancing risk affects the spread significantly across time, albeit in a largely varying …

Persistent link: https://www.econbiz.de/10011119859

Bank Liquidity and Capital Regulation in General Equilibrium

Covas, Francisco; Driscoll, John C. - Federal Reserve Board (Board of Governors of the … - 2014

impact of introducing a minimum liquidity standard for banks on top of existing capital adequacy requirements. The model … occasionally binding capital and liquidity constraints. Under our baseline calibration, imposing a liquidity requirement would lead … smaller the macroeconomic impact of introducing a minimum liquidity standard for banks, all else being equal. Finally, we show …

Persistent link: https://www.econbiz.de/10011075119

Consumers' Attitudes and Their Inflation Expectations

Ehrmann, Michael; Pfajfar, Damjan; Santoro, Emilianio - Federal Reserve Board (Board of Governors of the … - 2015

This paper studies consumers' inflation expectations using micro-level data from the Surveys of Consumers conducted by University of Michigan. It shows that beyond the well-established socio-economic factors such as income, age or gender, other characteristics such as the households' financial...

Persistent link: https://www.econbiz.de/10011261278

Estimating U.S. Cross-Border Securities Positions: New Data and New Methods

Bertaut, Carol C.; Judson, Ruth - Federal Reserve Board (Board of Governors of the … - 2014

The role of capital flows in the buildup to the global financial crisis and the potential vulnerabilities posed by capital flows to emerging market economies highlight the importance of reliable and timely measures of cross-border investment activity to better monitor developments as they...

Persistent link: https://www.econbiz.de/10010892322

Tying loan interest rates to borrowers' CDS spreads

Ivanov, Ivan T.; Santos, Joao A. C.; Vo, Thu - Federal Reserve Board (Board of Governors of the … - 2014

We investigate how the introduction of market-based pricing, the practice of tying loan interest rates to credit default swaps, has affected borrowing costs. We find that CDS-based loans are associated with lower interest rates, both at origination and during the life of the loan. Our results...

Persistent link: https://www.econbiz.de/10010937969

Conservatism and Liquidity Traps

Nakata, Taisuke; Schmidt, Sebastian - Federal Reserve Board (Board of Governors of the … - 2014

Appointing Rogoff's (1985) conservative central banker improves welfare if the economy is subject to large contractionary shocks and the policy rate occasionally falls to the zero lower bound (ZLB). In an economy with occasionally binding ZLB constraints, the anticipation of future ZLB episodes...

Persistent link: https://www.econbiz.de/10011115660