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Journal Article
The effect of “regular and predictable” issuance on Treasury bill financing
Zhang, Allen; Glasserman, Paul; Sirohi, Amit (2017)
The mission of Treasury debt management is to meet the financing needs of the federal government at the lowest cost over time. To achieve this objective, the U.S. Treasury Department follows a principle of ?regular and predictable? issuance of Treasury securities. But how effective is such an approach in achieving least-cost financing of the government?s debt? This article explores this question by estimating the difference in financing costs between a pure cost-minimization strategy for setting the size of Treasury bill auctions and strategies that focus instead on ?smoothness? ...
Economic Policy Review , Issue 23-1 , Pages 43-56

Journal Article
Complexity in Large U.S. Banks
Goldberg, Linda S.; Meehl, April (2020-03-01)
The structural complexity of the largest U.S. bank holding companies (BHCs) has been changing. Following the global financial crisis, the simplification of bank complexity was a policy priority. Using a variety of measures of organizational, business, and geographic complexity, the authors show that large U.S. BHCs nonetheless remain very complex. Organizational complexity has declined, as the average number of legal entities within large U.S. BHCs has fallen. By contrast, the range of industries spanned by legal entities within the BHCs has shifted more than it has declined, especially ...
Economic Policy Review , Volume 26 , Issue 2 , Pages 29

Working Paper
Reach for Yield by U.S. Public Pension Funds
Zlate, Andrei; Pritsker, Matthew; Anadu, Kenechukwu E.; Bohn, James; Lu, Lina (2019-06-06)
This paper studies whether U.S. public pension funds reach for yield by taking more investment risk in a low interest rate environment. To study funds? risk-taking behavior, we first present a simple theoretical model relating risk-taking to the level of risk-free rates, to their underfunding, and to the fiscal condition of their state sponsors. The theory identifies two distinct channels through which interest rates and other factors may affect risk-taking: by altering plans? funding ratios, and by changing risk premia. The theory also shows the effect of state finances on funds? risk-taking ...
Supervisory Research and Analysis Working Papers , Paper RPA 19-2

Working Paper
The Shift from Active to Passive Investing: Potential Risks to Financial Stability?
McCabe, Patrick E.; Shin, Chae Hee; Osambela, Emilio; Anadu, Kenechukwu E.; Kruttli, Mathias S. (2018-08-27)
The past couple of decades have seen a significant shift in assets from active to passive investment strategies. We examine the potential effects of this shift on financial stability through four different channels: (1) effects on investment funds? liquidity transformation and redemption risks; (2) passive strategies that amplify market volatility; (3) increases in asset-management industry concentration; and (4) the effects on valuations, volatility, and comovement of assets that are included in indexes. Overall, the shift from active to passive investment strategies appears to be increasing ...
Supervisory Research and Analysis Working Papers , Paper RPA 18-4

Report
Time-Varying Inflation Risk and Stock Returns
de Roon, Frans; Duarte, Fernando M.; Szymanowska , Marta; Boons, Martijn (2013-05-01)
We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of inflation risk changing over time. Using a consumption-based asset pricing model, we argue that inflation risk is priced because inflation predicts real consumption growth. The historical changes in this predictability and in stocks' inflation betas can account for the size, variability, predictability and sign reversals in inflation risk premia.
Staff Reports , Paper 621

Report
A pilot survey of agent securities lending activity
Baklanova, Viktoria; Keane, Frank M.; Porter, Burt; Caglio, Cecilia (2016-08-01)
This paper reports aggregate statistics on securities lending activity based on a recently concluded pilot data collection by staff from the Office of Financial Research (OFR), the Federal Reserve System, and staff from the Securities and Exchange Commission (SEC). In its annual reports, the Financial Stability Oversight Council identified a lack of data about securities lending activity as a priority for the Council. This pilot data collection was a step toward addressing this critical data need. The voluntary pilot collection included end-of-day loan-level data for three non-consecutive ...
Staff Reports , Paper 790

Report
Assessing the impact of short-sale constraints on the gains from international diversification
Sarkar, Asani; Wang, Zhenyu; Li, Kai (1999-10-01)
This paper examines the impact of short-sale constraints on the magnitude of international diversification benefit for U.S. investors during the period of 1976?1998. The diversification benefit is measured as the increase in expected return when switching from the U.S. equity index portfolio to the efficient international portfolio with equal variance. Although short-sale constraints reduce the diversification benefit, we find that the reduction caused by the constraints on emerging markets is small. This result holds in both pre- and post-liberalization periods. They are also unaffected by ...
Staff Reports , Paper 89

Report
The effect of state pension cut legislation on bank values
Cohen, Lee; Cornette, Marcia Millon; Tehranian, Hassan; Mehran, Hamid (2014-06-01)
This study provides an empirical analysis of the impact of Wisconsin and Ohio pension cut legislation on values of banks operating in Wisconsin and Ohio, banks operating in other states in which pension cut legislation was being considered as Wisconsin and Ohio went through its legislative process, and all publicly traded U.S. banks. We find that banks doing business in Wisconsin and Ohio experience positive (negative) stock price reactions to announcements that indicate an increased (a decreased) probability of pension cut legislation. The stock price reactions are positively related to the ...
Staff Reports , Paper 679

Report
Credit market choice
Costello, Anna M.; Shachar, Or; Boyarchenko, Nina (2018-08-01)
Which markets do institutions use to change exposure to credit risk? Using a unique data set of transactions in corporate bonds and credit default swaps (CDS) by large financial institutions, we show that simultaneous transactions in both markets are rare, with an average institution having an 11 percent probability of transacting in both the CDS and bond markets in the same entity in an average week. When institutions do transact in both markets simultaneously, they increase their speculative positions in CDS by 13 cents per dollar of bond transactions, and their hedging positions by 13 ...
Staff Reports , Paper 863

Speech
Welcoming remarks at The Evolving Structure of the U.S. Treasury Market conference
Dudley, William (2015-10-20)
Remarks at The Evolving Structure of the U.S. Treasury Market conference, Federal Reserve Bank of New York, New York City.
Speech , Paper 182

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