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U.S. macroeconomic and regulatory developments and emerging market economies

Musalem, Alberto G. - Federal Reserve Bank of New York - 2015

Remarks at the International Financial Conference Annual Meeting, Cartagena, Colombia.

Persistent link: https://www.econbiz.de/10011196793

Global financial stability - the road ahead

Dudley, William - Federal Reserve Bank of New York - 2014

Remarks at the Tenth Asia-Pacific High Level Meeting on Banking Supervision, Auckland, New Zealand

Persistent link: https://www.econbiz.de/10010752050

What determines the composition of international bank flows?

Niepmann, Friederike; Kerl, Cornelia - Federal Reserve Bank of New York - 2014

Several recent studies document that the extent to which banks transmit shocks across borders depends on the type of foreign activities these banks engage in. This paper proposes a model to explain the composition of banks’ foreign activities, distinguishing between international interbank...

Persistent link: https://www.econbiz.de/10010884927

LIBOR: origins, economics, crisis, scandal, and reform

Skeie, David R.; Hou, David - Federal Reserve Bank of New York - 2014

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....

Persistent link: https://www.econbiz.de/10010757406

Arbitrage-free models of stocks and bonds

Durham, J. Benson - Federal Reserve Bank of New York - 2013

A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...

Persistent link: https://www.econbiz.de/10010735679

Arbitrage-free affine models of the forward price of foreign currency

Durham, J. Benson - Federal Reserve Bank of New York - 2014

Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...

Persistent link: https://www.econbiz.de/10010751385

Betting against beta (and gamma) using government bonds

Durham, J. Benson - Federal Reserve Bank of New York - 2015

Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this...

Persistent link: https://www.econbiz.de/10011123661

Informational contagion in the laboratory

Cipriani, Marco; Guarino, Antonio; Guazzarotti, Giovanni; … - Federal Reserve Bank of New York - 2015

We study the informational channel of financial contagion in the laboratory. In our experiment, two markets with … from the market that opens first. As a result, we observe financial contagion in the laboratory: Indeed, the correlation … between asset prices is very close to that predicted by the theory. Finally, as theory predicts, there is no contagion when …

Persistent link: https://www.econbiz.de/10011189148

Momentum and the term structure of interest rates

Durham, J. Benson - Federal Reserve Bank of New York - 2013

A vast literature reports excess returns to momentum strategies across many financial asset classes. However, no study examines trading rules based on price history along individual government-bond term structures—that is, with respect to duration buckets across the curve—as opposed to...

Persistent link: https://www.econbiz.de/10011027211

Panel remarks at the International Symposium of the Banque de France

Dudley, William - Federal Reserve Bank of New York - 2014

Remarks at the International Symposium of the Banque de France, Central Banking: The Way Forward? Paris, France.

Persistent link: https://www.econbiz.de/10010951605