Search Results

Showing results 1 to 10 of approximately 23.

(refine search)
SORT BY: PREVIOUS / NEXT
Jel Classification:D53 

Working Paper
Villains or Scapegoats? The Role of Subprime Borrowers in Driving the U.S. Housing Boom

An expansion in mortgage credit to subprime borrowers is widely believed to have been a principal driver of the 2002–2006 U.S. house price boom. By contrast, this paper documents a robust, negative correlation between the growth in the share of purchase mortgages to subprime borrowers and house price appreciation at the county-level during this time. Using two different instrumental variables approaches, we also establish causal evidence that house price appreciation lowered the share of purchase loans to subprime borrowers. Further analysis using micro-level credit bureau data shows that ...
Working Papers , Paper 2013

Journal Article
To Improve the Accuracy of GDP Growth Forecasts, Add Financial Market Conditions

More timely data on current macroeconomic conditions can reduce uncertainty about forecasts, helping policymakers mitigate the risk of extreme economic outcomes. We find that incorporating financial market conditions along with current macroeconomic conditions improves the forecast accuracy of future GDP growth. Forecasts based only on current macroeconomic conditions eventually converge to those incorporating financial market conditions, lending further support to this approach.
Economic Bulletin , Issue June 2, 2021 , Pages 5

Working Paper
Asset Issuance in Over-the-Counter Markets

We model asset issuance in over-the-counter markets. Investors buy newly issued assets in a primary market and trade existing assets in a secondary market, where both markets are over the counter. We show that the level of asset issuance and its efficiency depend on how investors split the surplus in secondary market trade. If buyers get most of the surplus in secondary market trade, then sellers do not have incentives to participate in the primary market in order to intermediate assets and the economy has a low level of assets. On the other hand, if sellers get most of the surplus, buyers ...
Working Paper , Paper 17-13

Working Paper
An Information-Based Theory of Financial Intermediation

We advance a theory of how private information and heterogeneous screening ability across market participants shapes trade in decentralized asset markets. We solve for the equilibrium market structure and show that the investors who intermediate trade the most and interact with the largest set of counterparties must have the highest screening ability. That is, the primary intermediaries are those with superior information?screening experts. We provide empirical support for the model?s predictions using transaction-level micro data and information disclosure requirements. Finally, we study the ...
Working Paper , Paper 19-12

Speech
Welcoming remarks at Workshop on the Risks of Wholesale Funding

Remarks at the Workshop on the Risks of Wholesale Funding, Federal Reserve Bank of New York, New York City.
Speech , Paper 141

Working Paper
Firm Networks and Asset Returns

This paper argues that changes in the propagation of idiosyncratic shocks along firm networks are important to understanding variations in asset returns. When calibrated to match key features of supplier-customer networks in the United States, an equilibrium model in which investors have recursive preferences and firms are interlinked via enduring relationships generates long-run consumption risks. Additionally, the model matches cross-sectional patterns of portfolio returns sorted by network centrality, a feature unaccounted for by standard asset pricing models.
Finance and Economics Discussion Series , Paper 2017-014

Journal Article
The G-Spread Suggests Federal Reserve Restored Calm to Treasury Markets

In March, the coronavirus pandemic led to a sell-off in Treasury markets and a subsequent period of financial stress. I use one measure of Treasury market pressure, the G-spread, to gauge how liquidity in Treasury markets changed in response to the pandemic and the Federal Reserve’s interventions. I find that timely Federal Reserve interventions restored calm to the Treasury market, and that these interventions stand out in speed and scale compared with interventions in the early days of the 2007–08 financial crisis.
Economic Bulletin

Working Paper
Moldy Lemons and Market Shutdowns

This paper studies competitive market shutdowns due to adverse selection, where sellers post nonexclusive menus of contracts. We first show that the presence of the worst type of agents (moldy lemons) causes markets to fail only if their mass is sufficiently large. We then show that a small mass of moldy lemons can lead to a large cascade of exits when buyers possess outside options. Our results suggest a parsimonious way of generating sudden market shutdowns without relying on institutional details or imposing additional structure on the model. Thus, the simple insights on the properties of ...
Finance and Economics Discussion Series , Paper 2022-013

Discussion Paper
Blockchain and Financial Market Innovation

Blockchain technology is likely to be a key source of future financial market innovation. It allows the creation of immutable records of transactions accessible by all participants in a network. A blockchaindatabase is made up of a number of blocks “chained” together through a reference in each block to the previous block. Each block records one or more transactions, which are essentially changes in the listed owner of assets. New blocks are added to the existing chain through a consensus mechanism in which members of the blockchain network confirm transactions as valid.While all are in ...
Policy Discussion Paper Series

Report
Rollover risk as market discipline: a two-sided inefficiency

Why does the market discipline that financial intermediaries face seem too weak during booms and too strong during crises? This paper shows in a general equilibrium setting that rollover risk as a disciplining device is effective only if all intermediaries face purely idiosyncratic risk. However, if assets are correlated, a two-sided inefficiency arises: Good aggregate states have intermediaries taking excessive risks, while bad aggregate states suffer from costly fire sales. The driving force behind this inefficiency is an amplifying feedback loop between asset values and market discipline. ...
Staff Reports , Paper 597

FILTER BY year

FILTER BY Content Type

Working Paper 15 items

Discussion Paper 2 items

Journal Article 2 items

Report 2 items

Conference Paper 1 items

Speech 1 items

show more (1)

FILTER BY Author

FILTER BY Jel Classification

E44 7 items

G21 6 items

D82 5 items

G32 5 items

D52 4 items

show more (33)

FILTER BY Keywords

Financial markets 3 items

Asymmetric Information 3 items

Decentralized markets 2 items

asset issuance 2 items

bilateral trade 2 items

credit boom 2 items

show more (78)

PREVIOUS / NEXT