Search Results

Showing results 1 to 10 of approximately 87.

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Speech
Restoring confidence in reference rates
Dudley, William (2014-10-02)
Remarks at the Salomon Center for the Study of Financial Institutions, New York University Stern School of Business, New York City.
Speech , Paper 143

Speech
The 2015 economic outlook and the implications for monetary policy
Dudley, William (2014-12-01)
Remarks at Bernard M. Baruch College, New York City.
Speech , Paper 153

Report
Repo and securities lending
Adrian, Tobias; Begalle, Brian; Copeland, Adam; Martin, Antoine (2012-12-01)
We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection would include, at a minimum, six characteristics of repo and securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.
Staff Reports , Paper 529

Report
A leverage-based measure of financial instability
Tepper, Alexander; Borowiecki, Karol Jan (2014-08-01)
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market instability. Specifically, we derive a quantitative condition for how large levered investors can become relative to the whole market before the demand curve for securities suddenly becomes upward-sloping and small price declines cascade as levered investors are forced to liquidate. The size and leverage of all levered investors and the elasticity of demand of unlevered investors define the minimum market size for stability (or MinMaSS), the smallest market size that can ...
Staff Reports , Paper 688

Report
Understanding mortgage spreads
Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. (2014-05-01)
Most mortgages in the U.S. are securitized in agency mortgage-backed securities (MBS). Yield spreads on these securities are thus a key determinant of homeowners? funding costs. We study variation in MBS spreads over time and across securities, and document a cross-sectional smile pattern in MBS spreads with respect to the securities? coupon rates. We propose non-interest-rate prepayment risk as a candidate driver of MBS spread variation and present a new pricing model that uses ?stripped? MBS prices to identify the contribution of this prepayment risk to the spread. The pricing model finds ...
Staff Reports , Paper 674

Report
More on U.S. Treasury term premiums: spot and expected measures
Durham, J. Benson (2013-12-01)
Several studies that use affine term structure models (ATSMs) or survey data suggest that subdued nominal U.S. Treasury yields during the global financial crisis and its aftermath primarily reflected exceptionally low, if not negative, term premiums as distinct from depressed anticipated short rates. However, this literature pays little attention to the length of time market participants anticipated low term premiums to prevail, as captured by the ?forward? or ?expected? term premium over a given horizon, distinct from the ?spot? term premium. Besides the implications for investors at the ...
Staff Reports , Paper 658

Report
Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson (2014-02-01)
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model calibration to forward term structures of eleven U.S.-dollar currency pairs from the mid-to-late 1990s through early 2014 fits the data closely and suggests that the premium is indeed nonzero and variable, but not to the degree implied by previous econometric studies.
Staff Reports , Paper 665

Report
The shifting drivers of global liquidity
Avdjiev, Stefan; Gambacorta, Leonardo; Goldberg, Linda S.; Schiaffi, Stefano (2017-06-01)
The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flows to U.S. monetary policy rose substantially in the immediate aftermath of the global financial crisis, peaked around the time of the 2013 Federal Reserve ?taper tantrum,? and then partially reverted toward pre-crisis levels. Conversely, the responsiveness of international bank lending to global risk conditions declined considerably after the crisis and became similar ...
Staff Reports , Paper 819

Report
Identifying term interbank loans from Fedwire payments data
Kuo, Dennis; Skeie, David R.; Vickery, James; Youle, Thomas (2013)
Interbank markets for term maturities experienced great stress during the 2007-09 financial crisis, as illustrated by the behavior of the one- and three-month Libor. Despite widespread interest in these markets, little data is available on dollar interbank lending for maturities beyond overnight. We develop a methodology to infer information about individual term dollar interbank loans settled through the Fedwire Funds Service, the large-value bank payment system operated by the Federal Reserve Banks. We find a sharp increase in the dispersion of inferred term interbank interest rates, a ...
Staff Reports , Paper 603

Report
CoVaR
Adrian, Tobias; Brunnermeier, Markus K. (2008)
We propose a measure for systemic risk, ?CoVaR, defined as the difference between the conditional value at risk (CoVaR) of the financial system conditional on an institution being in distress and the CoVaR conditional on the median state of the institution. Our ?CoVaR estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict systemic risk contribution. We provide out-of-sample forecasts of a countercyclical, forward-looking measure of systemic risk and show that the 2006:Q4 value of this measure would have predicted more than ...
Staff Reports , Paper 348

show more (72)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords