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Author:Banegas, Ayelen 

Working Paper
International Dollar Flows

Using confidential Federal Reserve data, we study the factors driving U.S. banknote flows between the United States and other countries. These flows are a significant component of capital flows in emerging market economies, where physical U.S. currency functions as a safe asset and precautionary demand for U.S. banknotes is a form of flight to quality. Prior to the global financial crisis, country-specific factors, including local economic uncertainty, largely explain the volume and heterogeneity of the flows. Since the crisis, global factors, particularly, global economic uncertainty, ...
International Finance Discussion Papers , Paper 1144

Working Paper
Mutual Fund Flows, Monetary Policy and Financial Stability

We study the links between monetary policy and mutual fund flows, and the potential risks to financial stability that might arise from such flows, using data over the 2000-14 period. We find that monetary policy can have a direct influence on the allocation decisions of mutual fund investors. In particular, we show that monetary policy shocks explain mutual fund flow dynamics and that the effect of these shocks differs by investment strategy. Results suggest that positive shocks to the path of monetary policy (unexpected tightening) are associated with persistent outflows from bond mutual ...
Finance and Economics Discussion Series , Paper 2016-071

Working Paper
Leveraged Bank Loan versus High Yield Bond Mutual Funds

Since the financial crisis, the markets for Bank Loan (BL) and High Yield Bond (HYB) mutual funds (MFs) have grown significantly, with assets under management increasing from $19 billion and $75 billion to close to $117 billion and $225 billion, respectively, as of December 2018. This short paper characterizes the universe of BL MFs and compare it against that of HYB MFs on several dimensions. We document that BL and HYB MFsâ?? respective market share of leverage loans (LL) and high yield (HY) corporate bonds outstanding increased since the mid-2000s. We also show that in terms of portfolio ...
Finance and Economics Discussion Series , Paper 2019-047

Working Paper
Reserve Balances, the Federal Funds Market and Arbitrage in the New Regulatory Framework

We study developments in reserve balances and the federal funds market in the context of two banking regulatory changes: the widening of the Federal Deposit Insurance Corporation (FDIC) assessment base and the introduction of the Basel III leverage ratio. Using a novel data set that includes FDIC fees and balance sheet data for depository institutions, we find that, as most foreign banks were not subject to the FDIC fee, they absorbed increasing amounts of reserve balances. Furthermore, foreign banks experienced positive and improving conditions for arbitraging between borrowing reserve ...
Finance and Economics Discussion Series , Paper 2016-079

Working Paper
Predictability of Growth in Emerging Markets: Information in Financial Aggregates

This paper tests for predictability of output growth in a panel of 22 emerging market economies. We use pooled panel data methods that control for endogeneity and persistence in the predictor variables to test the predictive power of a large set of financial aggregates. Results show that stock returns, the term spread, default spreads and portfolio investment flows help predict output growth in emerging markets. We also find evidence that suggests that global aggregates such as the performance of commodity markets, a cross-sectional firm size factor, and returns on the market portfolio ...
International Finance Discussion Papers , Paper 1174

Discussion Paper
The Universe of Leveraged Bank Loan and High Yield Bond U.S. Mutual Funds

This note aims to characterize the universe of Bank Loan (BL) mutual funds (MFs) and compare it against that of High Yield Bond (HYB) MFs on several dimensions.
FEDS Notes , Paper 2019-08-02-2

Discussion Paper
Interest Rates Expectations and Flow Dynamics in High Yield Corporate Debt Mutual funds

Fixed-income mutual funds saw massive outflows during the onset of the COVID-19 crisis, with funds investing primarily in high yield debt markets experiencing the largest redemptions, as a percentage of assets. In March 2020 alone, high yield bond (HYB) and bank loan (BL) mutual fund withdrawals reached an estimated 4.1 and 13.6 percent of assets under management (AUM), accounting for close to $10.4 and $11.4 billion, respectively. Following interventions from the Federal Reserve that helped restore credit market conditions and brought U.S. interest rates back to new lows, flow dynamics of ...
FEDS Notes , Paper 2022-06-17-2

Discussion Paper
Sizing hedge funds' Treasury market activities and holdings

Hedge funds play an increasingly important role in U.S. Treasury (UST) cash and futures markets, a role that has been widely discussed following the March 2020 U.S. Treasury sell-off. In this note, we analyze hedge funds' holdings of UST securities and their UST market activities in normal times and in times of financial market stress using regulatory data from the SEC Form PF.
FEDS Notes , Paper 2021-10-06-3


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