Search Results
Journal Article
Monetary policy shocks and long-term interest rates
Exogenous shocks to monetary policy strongly affect short-term interest rates, but have little or no effect on longer-term interest rates.
Newsletter
Financial market utilities and the challenge of just-in-time liquidity
Financial market utilities ensure that clearing, settlement, and payments operations go smoothly. This article explores how these systems mitigate settlement risk, using precisely targeted ?just-in-time? liquidity, and discusses the risks for financial stability implied by the increasing role of just-in-time liquidity in our financial markets.
Newsletter
Explaining the decline in the auction rate securities market
Auction rate securities are an example of a relatively obscure financial market instrument that has been caught up in the recent negative sentiment affecting the financial markets. This article examines these securities and sheds some light on recent events.
Journal Article
Cleared Margin Setting at Selected Central Counterparties
Interviews with senior personnel at six of the world?s largest central counterparty clearing houses and research by financial markets staff shed light on regulations, principles, and best practices in margin setting for derivatives.
Journal Article
The role of time-critical liquidity in financial markets
This article examines the growing dependence of global financial markets on time-critical liquidity in managing settlement risk and its implications for financial regulation.
Working Paper
The equity premium puzzle and the risk-free rate puzzle at long horizons
The failure of consumption based asset pricing models to match the stochastic properties of the equity premium and the risk-free rate has been attributed by some authors to frictions, transaction costs or durability. However, such frictions would primarily affect the higher frequency data components: consumption-based pricing models that concentrate on long-horizon returns should be more successful. ; We consider three consumption-based models of the asset-pricing kernel: time-separable utility, and the models of Abel (1990) and Constantinides (1990). We estimate a vector ARCH model that ...
Working Paper
Monetary policy and the term structure of nominal interest rates: evidence and theory
This paper explores how exogenous impulses to monetary policy affect the yield curve for nominally risk-free bonds. We identify monetary policy shocks using three distinct variants of the identified VAR methodology. All three approaches imply similar patterns for the effect of monetary policy shocks on the term structure: A contractionary policy shock induces a pronounced positive but short-lived response in short term interest rates, with a smaller effect on medium-term rates and almost no effect on long term rates. Because of their transitory impact, monetary policy shocks account for a ...