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Jel Classification:G18 

Discussion Paper
Ten years later – Did QE work?

By November 2008, the Global Financial Crisis, which originated in the residential housing market and the shadow banking system, had begun to turn into a major recession, spurring the Federal Open Market Committee (FOMC) to initiate what we now refer to as quantitative easing (QE). In this blog post, we draw upon the empirical findings of post-crisis academic research's including our own work's to shed light on the question: Did QE work?
Liberty Street Economics , Paper 20190508

Compliance – some thoughts about reaching the next level

Remarks at the Fordham Journal of Corporate Counsel & Financial Law Symposium, Fordham Law School, New York City.
Speech , Paper 156

Welcoming remarks at The Evolving Structure of the U.S. Treasury Market conference

Remarks at The Evolving Structure of the U.S. Treasury Market conference, Federal Reserve Bank of New York, New York City.
Speech , Paper 182

The 2015 economic outlook and the implications for monetary policy

Remarks at Bernard M. Baruch College, New York City.
Speech , Paper 153

More resilient, better managed, less complex: strengthening FMUs and linkages in the system

Remarks at the Securities Industry and Financial Markets Association Conference, Boca Raton, Florida
Speech , Paper 135

Defining and detecting predatory lending

Staff Report no. 273 has been removed at the request of the author. See links to related papers.
Staff Reports , Paper 273

Simple and reliable way to compute option-based risk-neutral distributions

This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile. Its aim is to reduce complexity and provide cookbook-style guidance through the estimation process. The technique is robust and avoids violations of option no-arbitrage restrictions that can lead to negative probabilities and other implausible results. I give examples for equities, foreign exchange, and long-term interest rates.
Staff Reports , Paper 677

Changing risk-return profiles

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time. Current realized volatility has the most information content on the uncertainty of future returns, whereas it has only limited content about the location of the future return distribution. When volatility is low, the predicted distribution of returns is less dispersed and probabilistic forecasts are ...
Staff Reports , Paper 850

A Dynamic Theory of Collateral Quality and Long-Term Interventions

We study a dynamic model of collateralized lending under adverse selection in which the quality of collateral assets is endogenously determined by hidden effort. Complementarities in incentives lead to non-ergodic dynamics: Asset quality and output grow when asset quality is high, but stagnate or deteriorate otherwise. Inefficiencies remain, even in the most efficient competitive equilibrium?investment and output are vulnerable to spells of lending market illiquidity, and these spells may persist because of suboptimal effort. Nevertheless, benevolent regulators without commitment can destroy ...
Staff Reports , Paper 894

LIBOR: origins, economics, crisis, scandal, and reform

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans. LIBOR's volatile behavior during the financial crisis provoked questions surrounding its credibility. Ongoing regulatory investigations have uncovered misconduct by a number of financial institutions. Policymakers across the globe now face the task of reforming LIBOR in the aftermath of the scandal and ...
Staff Reports , Paper 667


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Jagtiani, Julapa 8 items

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