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Briefing
Pondering Payments: Challenges of Reaching All Americans
George, Esther L. (2020-06-30)
Policy Perspectives

Journal Article
Peas in a pod? Comparing the U.S. and Danish mortgage finance systems
Berg, Jesper; Vickery, James; Nielsen, Morten Bækmand (2018-24-03)
Like the United States, Denmark relies heavily on capital markets for funding residential mortgages, and its covered bond market bears a number of similarities to U.S. agency securitization. This article describes the key features of the Danish mortgage finance system and compares and contrasts them with those of the U.S. system. In addition, it highlights characteristics of the Danish model that may be of interest as the United States considers further mortgage finance reform. In particular, the Danish system includes features that mitigate refinancing frictions during periods of falling ...
Economic Policy Review , Issue 24-3 , Pages 63-87

Working Paper
The Anatomy of Financial Vulnerabilities and Crises
Lee, Seung Jung; Posenau, Kelly E.; Stebunovs, Viktors (2017-02)
We extend the framework used in Aikman, Kiley, Lee, Palumbo, and Warusawitharana (2015) that maps vulnerabilities in the U.S. financial system to a broader set of advanced and emerging economies. Our extension tracks a broader set of vulnerabilities and, therefore, captures signs of different types of crises. The typical anatomy of the evolution of vulnerabilities before and after a financial crisis is as follows. Pressures in asset valuations materialize, and a build-up of imbalances in the external, financial, and nonfinancial sectors follows. A financial crisis is typically followed by a ...
International Finance Discussion Papers , Paper 1191

Working Paper
Measuring the Liquidity Profile of Mutual Funds
Zer, Ilknur; Scotti, Chiara; Aramonte, Sirio (2019-07)
We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises about the state of the economy and after three relevant market events: Bill Gross's departure from PIMCO, Third Avenue Focused Credit Fund's suspension of redemptions, and the effect of Lehman Brothers' collapse on Neuberger Berman. Results show that, following negative news, the sensitivity to aggregate liquidity increases for less-liquid mutual funds, ...
Finance and Economics Discussion Series , Paper 2019-055

Working Paper
Household Liquidity and Macroeconomic Stabilization: Evidence from Mortgage Forbearance
Lee, Sean Chanwook; Maghzian, Omeed (2023-09-10)
We estimate the impact of household liquidity provision on macroeconomic stabilization using the 2020 CARES Act mortgage forbearance program. We leverage intermediation frictions in forbearance induced by mortgage servicers to identify the effect of reducing short-term payments with little change in long-term debt obligations on local labor market outcomes. Following statewide business reopenings, a 1 percentage point increase in the share of mortgages in forbearance leads to a 30 basis point increase in monthly employment growth in nontradable industries. In a model incorporating ...
Working Papers , Paper 23-12

Working Paper
Defining Households That Are Underserved in Digital Payment Services
Greene, Claire; Hayashi, Fumiko; Lloro, Alicia; Shy, Oz; Stavins, Joanna; Toh, Ying Lei (2024-09-01)
US households that lack digital means of making and receiving payments cannot participate fully in an increasingly digitized economy. Assessing the scope of this problem and addressing it requires a definition of households that are underserved in digital payments. Traditional definitions of households underserved in the banking system—those that are unbanked and those that are underbanked—do not account for the ownership of nonbank transaction accounts that can be used to make and receive digital payments. In this paper, we define households underserved in digital payments by considering ...
Working Papers , Paper 24-10

Working Paper
Credit Supply and Hedge Fund Performance: Evidence from Prime Broker Surveys
Li, Dan; Monin, Phillip J.; Petrasek, Lubomir (2024-11-21)
Constraints on the supply of credit by prime brokers affect hedge funds' leverage and performance. Using dealer surveys and hedge fund regulatory filings, we identify individual funds' credit supply from the availability of credit under agreements currently in place between a hedge fund and its prime brokers. We find that hedge funds connected to prime brokers that make more credit available to their hedge fund clients increase their borrowing and generate higher returns and alphas. These effects are more pronounced among hedge funds that rely on a small number of prime brokers, and those ...
Finance and Economics Discussion Series , Paper 2024-089

Working Paper
Differential Treatment in the Bond Market: Sovereign Risk and Mutual Fund Portfolios
Converse, Nathan L.; Mallucci, Enrico (2019-10-18)
How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not fully compensate investors for additional sovereign risk, so that bond funds reduce their exposure to a country's assets when its sovereign default risk increases. However, the magnitude of the response varies widely across countries. Fund managers aggressively reduce their exposure to high-debt ...
International Finance Discussion Papers , Paper 1261

Working Paper
Prudential Policies and Their Impact on Credit in the United States
Lee, Seung Jung; Calem, Paul S.; Correa, Ricardo (2016-12-13)
We analyze how two types of recently used prudential policies affected the supply of credit in the United States. First, we test whether the U.S. bank stress tests had any impact on the supply of mortgage credit. We find that the first Comprehensive Capital Analysis and Review (CCAR) stress test in 2011 had a negative effect on the share of jumbo mortgage originations and approval rates at stress-tested banks?banks with worse capital positions were impacted more negatively. Second, we analyze the impact of the 2013 Supervisory Guidance on Leveraged Lending and subsequent 2014 FAQ notice, ...
International Finance Discussion Papers , Paper 1186

Journal Article
Credit risk transfer and de facto GSE reform
Strzodka, Andreas; Vickery, James; Finkelstein, David (2018-24-03)
The Fannie Mae and Freddie Mac credit risk transfer (CRT) programs, now in their fifth year, shift a portion of credit risk on more than $1.8 trillion of mortgages to private-sector investors. This study summarizes and evaluates the CRT programs, finding that they have been successful in reducing the exposure of the government-sponsored enterprises and the federal government to mortgage credit risk without disrupting the liquidity or stability of mortgage secondary markets. The programs have also created a new financial market for pricing and trading mortgage credit risk, which has grown in ...
Economic Policy Review , Issue 24-3 , Pages 88-116

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