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Author:Zakrajšek, Egon 

Working Paper
The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF

We evaluate the efficacy of the Secondary Market Corporate Credit Facility (SMCCF), a program designed to stabilize the corporate bond market in the wake of the COVID-19 shock. The Fed announced the SMCCF on March 23 and expanded the program on April 9. Regression discontinuity estimates imply that these announcements reduced credit spreads on bonds eligible for purchase 70 basis points (bp). We refine this analysis by constructing a sample of bonds—issued by the same set of companies—that differ in their SMCCF eligibility. A diff-in-diff analysis shows that both announcements had large ...
FRB Atlanta Working Paper , Paper 2020-18

Journal Article
Profits and balance sheet developments at U.S. commercial banks in 2000

The profitability of the U.S. commercial banking industry remained robust in 2000, but returns on equity and on commercial bank assets fell back somewhat from the peak reached in 1999. The falloff reflected a continuation of the decline in net interest margin that dates from the extraordinarily high levels of the early 1990s, a significant increase in loan-loss provisions, and a notable slowing in noninterest income growth. The expansion of bank balance sheets was much stronger in 2000 than in the preceding year, as growth of both loans and securities accelerated. The pickup in loan growth ...
Federal Reserve Bulletin , Volume 87 , Issue Jun

Journal Article
Profits and balance sheet developments at U.S. commercial banks in 1999

The U.S. commercial banking industry posted record earnings in 1999. The industry's return on assets and return on equity both rose above the already high level of recent years. Profitability was concentrated at large banks--particularly among the 100 largest--and was driven upward by a surge in noninterest income and a significant slowdown in the growth of noninterest expense. Other sources of improved profitability were a stabilization of net interest income, which had been weakening in recent years, and lower loan loss provisioning permitted by generally good asset quality. The growth of ...
Federal Reserve Bulletin , Volume 86 , Issue Jun

Journal Article
Recent developments in business lending by commercial banks

After growing rapidly during much of the 1990s, the real value of commercial and industrial (C&I) loans at domestic commercial banks and at U.S. branches and agencies of foreign banks has fallen 19 percent since the beginning of 2001. The recent contraction in business loans has been concentrated at large banking institutions and appears to stem from the combined effects of weak demand for credit and a tightening of lending standards and terms. The move toward a more-stringent lending posture, although partly cyclical, also reflects a reassessment of the risks and returns of C&I lending. This ...
Federal Reserve Bulletin , Volume 89 , Issue Dec

Discussion Paper
Recession Risk and the Excess Bond Premium

In this FEDS Note, we evaluate the information content for recession risk of a component of credit spreads that is not directly attributable to expected default risk and thus to news about future cash flows.
FEDS Notes , Paper 2016-04-08

Discussion Paper
Updating the Recession Risk and the Excess Bond Premium

Beginning with the publication of this Note, we will provide updated estimates of the EBP and the associated model-implied probability of a U.S. recession every month.
FEDS Notes , Paper 2016-10-06


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