Search Results
Showing results 1 to 10 of approximately 103.
(refine search)
Report
Volatility and liquidity in futures markets
Locke, Peter; Sarkar, Asani
(1996)
We study the provision of liquidity in futures markets as price volatility changes. For both active and inactive contracts, customer trading costs do not increase with volatility. However, for three of the four contracts studied, the nature of liquidity supply changes with volatility. Specifically, for relatively inactive contracts, customers as a group trade more with each other (and less with market makers) on higher volatility days. By contrast, for the most active contract, trading between customers and market makers increases with volatility. We also find that market makers' income per ...
Research Paper
, Paper 9612
Report
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures
Menkveld, Albert J.; Sarkar, Asani; Van der Wel, Michel
(2007)
Customer order flow correlates with permanent price changes in equity and non-equity markets. We examine macro news events in the thirty-year Treasury futures market to identify causality from customer flow to risk-free rates. We remove the positive feedback trading effect and establish that, in the fifteen minutes subsequent to the news, intermediaries rely on customer orders to determine a substantial part of the announcement?s effect on risk-free rates?about one-third relative to the instantaneous effect. Intermediaries appear to benefit from privately observing informed customers, since ...
Staff Reports
, Paper 307
Report
Time-varying consumption correlation and the dynamics of the equity premium: evidence from the G-7 countries
Zhang, Lingjia; Sarkar, Asani
(2004)
We examine the implications of time variation in the correlation between the equity premium and nondurable consumption growth for equity return dynamics in G-7 countries. Using a VAR-GARCH (1,1) model, we find that the correlation increases with recession indicators such as above-average unemployment growth and with proxies for stock market wealth. The combined effect is that the correlation increases during a recession. We find that the effect of a countercyclical correlation is that the equity premium, Sharpe ratio, and risk aversion are also generally countercyclical. These findings ...
Staff Reports
, Paper 181
Discussion Paper
Counterparty and Collateral Policies of Central Bank Lending Facilities
Sarkar, Asani; Lee, Helene
(2017-08-16)
In a previous post, we compared the Federal Reserve’s discount window with the standing lending facilities (SLFs) at the Bank of England (BoE), the European Central Bank (ECB), and the Bank of Japan (BoJ). We showed that the Fed’s discount window was less integrated with monetary policy than the SLFs of the other central banks. In this post, we observe that the counterparty and collateral policies of the Fed’s discount window are similarly less integrated with the practices involved in monetary policy operations, in comparison with the other central banks.
Liberty Street Economics
, Paper 20170816
Discussion Paper
How Do Large Banks Manage Their Cash?
Sarkar, Asani; Levine, Jeffrey
(2019-07-17)
As the aggregate supply of reserves shrinks and large banks implement liquidity regulations, they may follow a variety of liquidity management strategies depending on their business models and the interest rate differences between alternative liquid instruments. In this post, the authors provide new evidence on how large banks have managed their cash?the largest component of reserves?on a daily basis since the implementation of liquidity regulations.
Liberty Street Economics
, Paper 20190717
Report
Estimating the adverse selection and fixed costs of trading in markets with multiple informed traders
Sarkar, Asani; Wu, Lifan; Chakravarty, Sugato
(1998)
We investigate, both theoretically and empirically, the relation between the adverse selection and fixed costs of trading and the number of informed traders in a financial asset. As a proxy for informed traders, we use dual traders -- i.e., futures floor traders who execute trades both for their own and customers' accounts on the same day. Our theoretical model shows that dual traders optimally mimic the size and direction of their informed customers' trades. Further, the adverse selection (fixed) costs of trading: (1) decrease (increase) with the number of dual traders m, if dual traders are ...
Research Paper
, Paper 9814
Discussion Paper
Creditor Recovery in Lehman’s Bankruptcy
Sarkar, Asani; Denison, Erin; Fleming, Michael J.
(2019-01-14)
Expectations of creditor recovery were low when the Lehman Brothers bankruptcy process started. On the day the firm filed for bankruptcy in September 2008, the average price of Lehman’s senior bonds implied a recovery rate of about 30 percent for senior creditors. A month later the bond price was implying a recovery rate of 9 percent, consistent with results from Lehman’s CDS auction. Two and a half years later, Lehman’s estate estimated that the recovery rate for holding company creditors would be just 16 percent. So, ten years after the filing, how much did creditors actually recover?
Liberty Street Economics
, Paper 20190114a
Discussion Paper
The Growth of Murky Finance
Sarkar, Asani; Hou, David; Antill, Samuel
(2014-03-27)
Building upon previous posts in this series that discussed individual banks, we examine the historical growth of the entire financial sector, relative to the rest of the economy. This sector’s historically large share of the economy today (see chart below) and its role in disrupting the functioning of the real economy during the recent financial crisis have led to questions about the social value of costly financial services. While new regulations such as the Dodd-Frank Act impose restrictions on financial activities and increase their costs, especially those of large firms, our paper ...
Liberty Street Economics
, Paper 20140327
Report
COVID Response: The Term Asset-Backed Securities Loan Facility
Goyal, Ankur; Sarkar, Asani; Park, Woojung; Caviness, Elizabeth
(2020-09-01)
The COVID-19 pandemic disrupted the asset-backed securities (ABS) market, resulting in higher spreads on ABS and briefly halting the issuance of some ABS. On March 23, 2020, the Federal Reserve established the Term Asset-Backed Securities Loan Facility (TALF) to support the flow of credit to consumers and businesses by re-enabling the issuance of ABS. In this paper, we describe how TALF works, how much it was used, and its effect on the issuance and spreads of TALF-eligible securities relative to those of TALF-ineligible securities. We find that both the introduction of TALF and its ...
Staff Reports
, Paper 979
Discussion Paper
Is Stigma Attached to the European Central Bank's Marginal Lending Facility?
Sarkar, Asani; Lee, Helene
(2018-04-16)
The European Central Bank (ECB)’s marginal lending facility has been used by banks to borrow funds both in normal times and during the crisis that started in 2007. In this post, we argue that how a central bank communicates the purpose of a facility is important in determining how users of the facility are perceived. In particular, the ECB never refers to the marginal lending facility as a back-up source of funds. The ECB’s neutral approach may be a key factor in explaining why financial institutions are less reluctant to use the marginal lending facility than the Fed’s discount window.
Liberty Street Economics
, Paper 20180416
FILTER BY year
FILTER BY Bank
FILTER BY Series
Liberty Street Economics 48 items
Staff Reports 32 items
Research Paper 11 items
Current Issues in Economics and Finance 5 items
Economic Policy Review 5 items
Proceedings 2 items
show more (1)
show less
FILTER BY Content Type
FILTER BY Author
Fleming, Michael J. 16 items
Chakravarty, Sugato 10 items
Denison, Erin 7 items
Hrung, Warren B. 6 items
Lee, Helene 6 items
Wu, Lifan 6 items
Kaplan, Nathan 5 items
Kramer, Claire 5 items
Chordia, Tarun 4 items
Jackson, John 4 items
Li, Ada 4 items
Locke, Peter 4 items
Shrader, Jeffrey 4 items
Subrahmanyam, Avanidhar 4 items
Antill, Samuel 3 items
Armantier, Olivier 3 items
Caviness, Elizabeth 3 items
Chen, Jiakai 3 items
Hiti, Martin 3 items
Kroeger, Alexander 3 items
Liu, Haoyang 3 items
McGowan, John 3 items
Song, Zhaogang 3 items
Wang, Zhenyu 3 items
Acharya, Viral V. 2 items
Battisto, Jessica 2 items
Berre, Stein 2 items
Chen, Kathryn 2 items
Chernenko, Sergey V. 2 items
Coffey, Niall 2 items
Ghysels, Eric 2 items
Godin, Nathan Y. 2 items
Goyal, Ankur 2 items
Hou, David 2 items
Levine, Jeffrey 2 items
Li, Kai 2 items
Maurer, Samuel 2 items
McAndrews, James J. 2 items
Menkveld, Albert J. 2 items
Nguyen, Hoai-Luu 2 items
Park, Woojung 2 items
Roberts, Daniel 2 items
Rubio, David 2 items
Scharfstein, David 2 items
Schwartz, Robert A. 2 items
Shachar, Or 2 items
Van der Wel, Michel 2 items
Zobel, Patricia 2 items
Antunovich, Peter 1 items
Armstrong, Ken 1 items
Borden, Sara 1 items
Capponi, Agostino 1 items
Conner Warren, Leslie 1 items
Entz, Alex 1 items
Fischl-Lanzoni, Natalia 1 items
Goldberg, Linda S. 1 items
Helwege, Jean 1 items
Kambhu, John 1 items
Kasch, Maria 1 items
Kosmetatos, Paul 1 items
Krishnan, Neel 1 items
Li, Brandon 1 items
Mahoney, James M. 1 items
Martin, Antoine 1 items
Miu, Jason 1 items
Park, Hun Y. 1 items
Patel, Sandeep 1 items
Radecki, Lawrence J. 1 items
Reubenstein, Rebecca 1 items
Tepper, Alexander 1 items
Tozzi, Michelle 1 items
Van Tassel, Peter 1 items
Wang, Yuan 1 items
Wei, Chenyang 1 items
Zhang, Lingjia 1 items
show more (71)
show less
FILTER BY Jel Classification
G1 16 items
G21 13 items
G01 12 items
G2 12 items
E5 11 items
G12 6 items
G28 6 items
G33 6 items
G10 5 items
G18 5 items
G23 5 items
D63 4 items
G14 4 items
E51 3 items
E52 2 items
E58 2 items
F00 2 items
G3 2 items
G32 2 items
I1 2 items
I3 2 items
N2 2 items
Q54 2 items
R10 2 items
D44 1 items
D8 1 items
E4 1 items
E63 1 items
G00 1 items
G11 1 items
G13 1 items
G15 1 items
G19 1 items
G20 1 items
G2;G3 1 items
G34 1 items
H0 1 items
H1 1 items
I18 1 items
K2 1 items
N00 1 items
N1 1 items
N10 1 items
show more (38)
show less
FILTER BY Keywords
Liquidity (Economics) 13 items
Futures 12 items
Stock market 8 items
COVID-19 7 items
inequality 6 items
crisis 6 items
Federal Reserve 5 items
Securities 5 items
Swaps (Finance) 5 items
stigma 5 items
Fed 4 items
Hedging (Finance) 4 items
Lehman bankruptcy 4 items
Stock - Prices 4 items
liquidity 4 items
racial disparities 4 items
Transparency 4 items
Financial crises 3 items
Financial markets 3 items
Interest rates 3 items
International finance 3 items
Paycheck Protection Program 3 items
Risk 3 items
Term Auction Facility 3 items
banks 3 items
pandemic 3 items
systemic risk 3 items
Lender of Last Resort 3 items
chapter 11 3 items
credit 3 items
dealers 3 items
liquidity coverage ratio 3 items
Discount Window 3 items
ABS market 2 items
COVID crisis 2 items
Central Banks 2 items
Competition 2 items
Dodd Frank Act 2 items
Fed facility 2 items
Federal Reserve System 2 items
Federal Reserve lending facilities 2 items
FinTech Lending 2 items
Financial Stability Board 2 items
Financial sector size 2 items
Fintech 2 items
LCR 2 items
Libor 2 items
Paycheck Protection Program (PPP) 2 items
Rate of return 2 items
Sandy 2 items
Second District 2 items
Standing Lending Facility 2 items
Stocks 2 items
Term Asset-Backed Securities Loan Facility (TALF) 2 items
Treasury bonds 2 items
administrative burden 2 items
arbitrage 2 items
asset management 2 items
bank lending 2 items
bitcoin 2 items
cash management 2 items
central banking 2 items
climate 2 items
climate risk 2 items
commercial banks 2 items
coronavirus 2 items
crises 2 items
disaster relief 2 items
discrimination 2 items
economic history 2 items
financial crisis 2 items
financial intermediation 2 items
firm size 2 items
global banks 2 items
illiquidity 2 items
insolvency 2 items
large banks 2 items
lenders of last resort 2 items
leverage 2 items
liquidity creation 2 items
money markets 2 items
securitization 2 items
shadow banks 2 items
small business 2 items
small business loans 2 items
Liquidity Facilities 2 items
Monetary Policy 2 items
Transactions 2 items
ABS 1 items
Assets (Accounting) 1 items
Auctions 1 items
Bank assets 1 items
Bank liquidity 1 items
Bank supervision 1 items
Bankruptcy 1 items
Banks and banking, Central 1 items
Bonds 1 items
CDS market 1 items
CDS prices 1 items
Capital market - Europe 1 items
China 1 items
Collateral 1 items
Consumption (Economics) 1 items
Contracts 1 items
Corporate bonds 1 items
Counterparty 1 items
Credit Risk 1 items
Credit derivatives 1 items
Crypto 1 items
Currency substitution 1 items
DeFi 1 items
Derivative securities 1 items
Developing countries 1 items
Disclosure of information 1 items
Discount Window Stigma History 1 items
Dollar funding gap 1 items
Dollar, American 1 items
ECB 1 items
Econometric models 1 items
Economic indicators 1 items
Electronic trading of securities 1 items
European banks 1 items
European debt crisis 1 items
Federal Home Loan Banks (FHLBs) 1 items
Federal Reserve Bank of New York 1 items
Federal funds rate 1 items
Foreign exchange 1 items
Foreign exchange rates 1 items
GSIB 1 items
Government securities 1 items
HQLA 1 items
Index numbers (Economics) 1 items
Insurance 1 items
Interest rate derivatives 1 items
Intermediation (Finance) 1 items
Internet 1 items
Investments, Foreign - United States 1 items
Investor sentiment 1 items
Japanese 1 items
Lehman Brothers 1 items
Lehman bankruptcy resolution Chapter 11 1 items
Liquidity Spillovers 1 items
MBS 1 items
Macroeconomics 1 items
Markets 1 items
Municipal bonds 1 items
Oil Prices 1 items
Online stockbrokers 1 items
Over-the-counter markets 1 items
Prices 1 items
Recessions 1 items
Regulatory reform 1 items
Securities - Europe 1 items
Speculation 1 items
Standing Lending Facilities 1 items
Stock - Prices - China 1 items
Stock exchanges 1 items
Stock market - China 1 items
Stocks - Rate of return 1 items
TALF 1 items
TARP 1 items
TBA 1 items
Term Asset-Backed Securities Loan Facility 1 items
Term Auction Facility (TAF) 1 items
Too-Big-To-Fail 1 items
Treasury securities 1 items
UK discount window stigma 1 items
Yen 1 items
asset backed securities 1 items
bailout 1 items
balance sheet beta 1 items
bank borrowing 1 items
bank run 1 items
banking regulations 1 items
bond 1 items
bond markets 1 items
borrowing 1 items
cash 1 items
central bank liquidity swaps 1 items
complexity 1 items
costs 1 items
credit crisis 1 items
credit risks 1 items
creditor recovery 1 items
crisis of 1772 1 items
cryptocurrencies 1 items
customer employee losses 1 items
dealer 1 items
debt ceiling 2011 1 items
decentralized finance 1 items
derivatives 1 items
direct costs 1 items
divergent beliefs 1 items
diversification 1 items
diversification benefit 1 items
earnings 1 items
earnings news 1 items
efficient international portfolio 1 items
equity index portfolio 1 items
exchange-traded products (ETPs) 1 items
fed funds market 1 items
financial frictions 1 items
fire sale 1 items
fire-sale risk 1 items
global credit 1 items
hedging 1 items
implicit subsidies 1 items
information sensitivity 1 items
interconnectedness 1 items
investing 1 items
large trades 1 items
lending 1 items
limited attention 1 items
loans 1 items
macro news 1 items
minority-owned business 1 items
minority-owners 1 items
monetary policy framework 1 items
monetary policy framework: pre-crisis 1 items
money market mutual funds (MMF) 1 items
mortgage-backed securities (MBS) market 1 items
nonbank financial institutions 1 items
nonbank financial institutions (NBFIs) 1 items
pre-crisis 1 items
presidential elections 1 items
quarter-end volatility 1 items
regulation 1 items
regulations 1 items
reserves 1 items
sidedness 1 items
specified pool 1 items
standardization 1 items
stock 1 items
tailoring 1 items
term funding 1 items
too big to fail 1 items
trade initiation 1 items
trading motives 1 items
uninsured deposits 1 items
unrealized losses 1 items
value destruction 1 items
“too big to fail” 1 items
show more (249)
show less