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Working Paper
The pricing of FX forward contracts: micro evidence from banks’ dollar hedging
Bräuning, Falk; Abbassi, Puriya (2018-03-01)
We use transaction-level data on foreign exchange (FX) forward contracts for the period 2014 through 2016 in conjunction with supervisory balance sheet information to study the drivers of banks? dollar hedging costs. Comparing contracts of the same maturity that are initiated during the same hour of the same day, we find large heterogeneity in banks? hedging costs. We show that these costs (i) are higher for banks with a larger FX funding gap, (ii) depend on banks? FX funding composition in terms of the source (interbank versus retail) and rollover structure (long-term versus short-term), ...
Working Papers , Paper 18-6

Speech
Global financial stability - the road ahead
Dudley, William (2014-02-26)
Remarks at the Tenth Asia-Pacific High Level Meeting on Banking Supervision, Auckland, New Zealand
Speech , Paper 130

Working Paper
U.S. Banks and Global Liquidity
Du, Wenxin; Liao, Gordon Y.; Correa, Ricardo (2020-07-08)
We characterize how U.S. global systemically important banks (GSIBs) supply short-term dollar liquidity in repo and foreign exchange swap markets in the post-Global Financial Crisis regulatory environment and serve as the "lenders-of-second-to-last-resort". Using daily supervisory bank balance sheet information, we find that U.S. GSIBs modestly increase their dollar liquidity provision in response to dollar funding shortages, particularly at period-ends, when the U.S. Treasury General Account balance increases, and during the balance sheet taper of the Federal Reserve. The increase in the ...
International Finance Discussion Papers , Paper 1289

Working Paper
Trilemma, not dilemma: financial globalisation and Monetary policy effectiveness
Mehl, Arnaud; Georgiadis, Georgios (2015-01-01)
We investigate whether the classic Mundell-Flemming "trilemma" has morphed into a "dilemma" due to financial globalisation. According to the dilemma hypothesis, global financial cycles determine domestic financial conditions regardless of an economy's exchange rate regime and monetary policy autonomy is possible only if capital mobility is restricted. We find that global financial cycles indeed reduce domestic monetary policy effectiveness in more financially integrated economies. However, we also find that another salient feature of financial globalisation has the opposite effect and ...
Globalization Institute Working Papers , Paper 222

Speech
U.S. macroeconomic and regulatory developments and emerging market economies
Musalem, Alberto G. (2015-03-09)
Remarks at the International Financial Conference Annual Meeting, Cartagena, Colombia.
Speech , Paper 159

Working Paper
Economic fundamentals and monetary policy autonomy
Davis, Scott (2016-02-24)
During a time of rising world interest rates, the central bank of a small open economy may be motivated to increase its own interest rate to keep from suffering a destabilizing outflow of capital and depreciation in the exchange rate. This is especially true for a small open economy with a current account deficit, which relies on foreign capital inflows to finance this deficit. This paper will investigate the underlying structural characteristics that would lead an economy with a floating exchange rate to adjust their interest rate in line with the foreign interest rate, and thus adopt a de ...
Globalization Institute Working Papers , Paper 267

Report
Sovereign Risk Contagion
Bai, Yan; Lizarazo, Sandra; Arellano, Cristina (2017-11-13)
We develop a theory of sovereign risk contagion based on financial links. In our multi-country model, sovereign bond spreads comove because default in one country can trigger default in other countries. Countries are linked because they borrow, default, and renegotiate with common lenders, and the bond price and recovery schedules for each country depend on the choices of other countries. A foreign default increases the lenders' pricing kernel, which makes home borrowing more expensive and can induce a home default. Countries also default together because by doing so they can renegotiate the ...
Staff Report , Paper 559

Working Paper
What Determines the Composition of International Bank Flows?
Kerl, Cornelia; Niepmann, Friederike (2016-06)
This paper studies how frictions to foreign bank operations affect the sectoral composition of banks? foreign positions, their funding sources and international bank flows. It presents a parsimonious model of banking across borders, which is matched to bank-level data and used to quantify cross-border frictions. The counterfactual analysis shows how higher barriers to foreign bank entry alter the composition of international bank flows and may reverse the direction of net interbank flows. It also highlights that interbank lending and lending to non-banking firms respond differently to changes ...
International Finance Discussion Papers , Paper 1170

Working Paper
Risk Taking and Interest Rates : Evidence from Decades in the Global Syndicated Loan Market
Lee, Seung Jung; Stebunovs, Viktors; Liu, Lucy Qian (2017-01)
We study how low interest rates in the United States affect risk taking in the market for cross-border corporate loans. Because banks tend to originate these loans with intent to sell to nonbank investors, we examine risk taking by the broad financial system. To the extent that actions of the Federal Reserve affect U.S. interest rates, our analysis provides evidence of cross-border spillover effects of U.S. monetary policy and highlights the global lending and risk-taking channels. We find that movements in the U.S. interest rates have an important effect on ex-ante credit risk of ...
International Finance Discussion Papers , Paper 1188

Report
Default Risk, Sectoral Reallocation and Persistent Recessions
Bai, Yan; Mihalache, Gabriel; Arellano, Cristina (2017-09-13)
Sovereign debt crises are associated with large and persistent declines in economic activity, disproportionately so for nontradable sectors. This paper documents this pattern using Spanish data and builds a two-sector dynamic quantitative model of sovereign default with capital accumulation. Recessions are very persistent in the model and more pronounced for nontraded sectors because of default risk. An adverse domestic shock increases the likelihood of default, limits capital in?ows, and thus restricts the ability of the economy to exploit investment opportunities. The economy responds by ...
Staff Report , Paper 555

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