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Working Paper
Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry
Harris, Jeffrey H.; Brunetti, Celso; Mankad, Shawn
(2021-03-19)
Network analysis has demonstrated that interconnectedness among market participants results in spillovers, amplifies or absorbs shocks, and creates other nonlinear effects that ultimately affect market health. In this paper, we propose a new directed network construct, the liquidity network, to capture the urgency to trade by connecting the initiating party in a trade to the passive party. Alongside the conventional trading network connecting sellers to buyers, we show both network types complement each other: Liquidity networks reveal valuable information, particularly when information ...
Finance and Economics Discussion Series
, Paper 2021-017
Working Paper
Climate-related Financial Stability Risks for the United States: Methods and Applications
Brunetti, Celso; Caramichael, John; Crosignani, Matteo; Dennis, Benjamin; Kotta, Gurubala; Morgan, Donald P.; Shin, Chaehee; Zer, Ilknur
(2022-07-05)
This report has two objectives: 1. Review the available literature on Climate-Related Financial Stability Risks (CRFSRs) as it pertains to the United States. Specifically, the literature review considers several modeling approaches and aims to 1.1 Identify financial market vulnerabilities (e.g., bank leverage), 1.2 Provide an assessment of those vulnerabilities (high/medium/low) as identified by the current literature, and 1.3 Evaluate the uncertainty surrounding these assessments based on interpretation of the findings and coverage of existing literature (high/low). 2. Identify methodologies ...
Finance and Economics Discussion Series
, Paper 2022-043
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Dennis, Benjamin 37 items
Kotta, Gurubala 37 items
Smith, Adam 33 items
Joëts, Marc 8 items
Mignon, Valérie 8 items
Harris, Jeffrey H. 3 items
Mankad, Shawn 3 items
Shin, Chaehee 3 items
Crosignani, Matteo 2 items
Gates, Dylan 2 items
Hancock, Diana 2 items
Ignell, David 2 items
Kiser, Elizabeth K. 2 items
Kovner, Anna 2 items
Morgan, Donald P. 2 items
Rosen, Richard J. 2 items
Scotti, Chiara 2 items
Tabor, Nicholas K. 2 items
Zer, Ilknur 2 items
Antinolfi, Gaetano 1 items
Capponi, Agostino 1 items
Caramichael, John 1 items
Carl, Matthew 1 items
Foley-Fisher, Nathan 1 items
Frei, Christoph 1 items
Gerszten, Jacob 1 items
Mariano, Roberto S. 1 items
Michailidis, George 1 items
Reiffen, David 1 items
Tan, Augustine H. H. 1 items
Verani, Stéphane 1 items
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OPEC Announcements 8 items
Structural Topic Models 8 items
Traders’ Positions 8 items
Volatility 8 items
Interconnectedness 3 items
Bank holdings 1 items
Banking networks 1 items
Big data 1 items
Climate change 1 items
Commodity futures - Mathematical models 1 items
Concentration index 1 items
Counterparty risk 1 items
Econometric models 1 items
Financial institutions 1 items
Financial markets 1 items
Financial stability 1 items
Financial stability and risk 1 items
Foreign exchange rates 1 items
Hedging (Finance) - Mathematical models 1 items
High-frequency financial econometrics 1 items
Institutional investors 1 items
Interest rate risk management 1 items
Life insurers 1 items
Liquidity 1 items
Negative externalities 1 items
Over-the-counter markets 1 items
Similarity index 1 items
Subsampling 1 items
Systemic risk 1 items
climate 1 items
climate change 1 items
climate risk 1 items
correlation network 1 items
counterparty concentration 1 items
financial crisis 1 items
financial risk 1 items
financial stability 1 items
interbank markets 1 items
physical network 1 items
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