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Author:Hancock, Diana 

Working Paper
What does the yield on subordinated bank debt measure?

We provide evidence that a bank's subordinated debt yield spread is not, by itself, a sufficient measure of default risk. We use a model in which subordinated debt is held by investors with superior knowledge ("informed investor hypothesis"). First, we show that in theory the yield spread on subordinated debt must compensate investors for expected loss plus give them an incentive not to prefer senior debt. Second we present strong empirical evidence in favor of the informed investor hypothesis and of the existence of the incentive premium predicted by the model. Using data on the timing and ...
Finance and Economics Discussion Series , Paper 2004-19

Discussion Paper
Climate Change and Financial Stability

This Note describes how risks arising from climate change may affect financial stability. We describe how climate-change related risks may emerge either as shocks to the financial system or as financial system vulnerabilities that could amplify the effects of these or other shocks.
FEDS Notes , Paper 2021-03-19-3

Working Paper
Using subordinated debt to monitor bank holding companies: is it feasible?

Much research is needed to implement a supervisory surveillance system for banking organizations that relies on subordinated debt and other market data. This paper is germane to that task. We find subordinated debt spreads are most consistent across data sources for the most liquid bonds (i.e., those of relatively large issuance size, relatively young age, issued by relatively large firms) traded in a relatively robust overall bond market. We also find there is a high degree of concordance in rankings of firms by their minimum spreads across bonds with especially strong agreement about which ...
Finance and Economics Discussion Series , Paper 2001-22

Working Paper
An analysis of the potential competitive impacts of Basel II capital standards on U.S. mortgage rates and mortgage securitization

Basel II White Paper , Paper 3

Conference Paper
A summary of \"Federal Home Loan Bank advances and commercial bank portfolio composition\"

Proceedings , Paper 1057

Working Paper
How the Federal Reserve's Large-Scale Asset Purchases (LSAPs) Influence Mortgage-Backed Securities (MBS) Yields and U.S. Mortgage Rates

We conduct an empirical analysis of the Federal Reserve's large-scale asset purchases (LSAPs) on MBS yields and mortgage rates. The Federal Reserve's accumulation of MBS and Treasury securities lowered MBS yields and mortgage rates by more than what would have been suggested by changes in market expectations alone, suggesting that portfolio rebalancing effects of LSAPs are an important consideration for monetary policy transmission. Our estimates also suggest that the Federal Reserve must hold a substantial market share of agency MBS or of Treasury securities to significantly lower MBS yields ...
Finance and Economics Discussion Series , Paper 2014-12

Journal Article
Scale economies and technological change in Federal Reserve ACH payment processing

An analysis of the contribution of scale economies, technological change, and falling input prices to the absolute reduction in the real processing costs of an ACH transfer over the 1979-94 period.
Economic Review , Issue Q III , Pages 14-29

Working Paper
Federal Home Loan Bank advances and commercial bank portfolio composition

This paper considers the role of Federal Home Loan Bank (FHLB) advances in stabilizing their commercial bank members' residential mortgage lending activities. Our theoretical model shows that using mortgage-related membership criteria or requiring mortgage-related collateral does not ensure that FHLB advances will be put to use for stabilizing members' financing of housing. Using panel vector autoregression (VAR) techniques, we estimate recent dynamic responses of U.S. bank portfolios to FHLB advance shocks, bank lending shocks, and macroeconomic shocks. Our empirical findings suggest that ...
FRB Atlanta Working Paper , Paper 2007-17

Conference Paper
Measuring the efficiency of financial institutions: the importance of choosing a frontier

Proceedings , Paper 502


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