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Discussion Paper
The Runnables
In this note, we describe a measure of "runnable liabilities," or simply "runnables," as a tool in monitoring run vulnerability, in terms of both its aggregate size and its composition, in the economy. We first define runnables, and then describe our estimation approach and discuss empirical properties of our estimates.
Working Paper
The Volcker Rule and Market-Making in Times of Stress
Focusing on downgrades as stress events that drive the selling of corporate bonds, we document that the illiquidity of stressed bonds has increased after the Volcker Rule. Dealers regulated by the Rule have decreased their market-making activities while non-Volcker-affected dealers have stepped in to provide some additional liquidity. Furthermore, even Volcker-affected dealers that are not constrained by Basel III and CCAR regulations change their behavior, inconsistent with the effects being driven by these other regulations. Since Volcker-affected dealers have been the main liquidity ...