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Newsletter
Credit derivatives: the latest new thing
Working Paper
Interest-rate derivatives and bank lending
We study the relationship between bank participation in derivatives contracting and bank lending for the period June 30, 1985 through the end of 1992. Since 1985 commercial banks have become active participants in the interest-rate derivative products markets as end-users, or intermediaries, or both. Over much of this period significant changes were made in the composition of bank portfolios. We find that banks which utilized interest-rate derivatives experienced greater growth in their commercial and industrial (C&I) loan portfolios than banks which did not use these financial instruments. ...
Journal Article
The value of using interest rate derivatives to manage risk of U.S. banking organizations
This article examines the major differences in the accounting and stock market characteristics of banking organizations that use derivatives relative to those that do not.
Working Paper
Contracting innovations and the evolution of clearing and settlement methods at futures exchanges
Defining futures contracts as substitutes for associated cash transactions enables a discussion of the evolution of controls over contract nonperformance risk. These controls are incorporated into exchange methods for clearing contracts. Three clearing methods are discussed: direct, ringing and complete. The incidence and operation of each are described. Direct-clearing systems feature bilateral contracts with terms specified by the counterparties to the contract. Exchanges relying on direct clearing system chiefly serve as mediators in trade disputes. Ringing is shown to facilitate contract ...
Journal Article
Stock margins and the condition probability of price reversals
Does the cost of trading affect stock prices? Yes, according to the evidence in this article. The authors find that high costs seem to reduce the frequency of price reversals.