Search Results

Showing results 1 to 10 of approximately 13.

(refine search)
SORT BY: PREVIOUS / NEXT
Jel Classification:G19 

Working Paper
The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors

In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S. Treasury securities. We find an economically and statistically significant scarcity premium. This scarcity effect is quite persistent, passes through to Treasury market prices, and explains a significant portion of the flow-effects of LSAP programs, providing additional evidence for the scarcity channel ...
Finance and Economics Discussion Series , Paper 2014-60

Working Paper
Funding Liquidity Risk and the Cross-section of MBS Returns

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect security-level costs of financing positions in the MBS market. We show that factors representing higher net MBS supply are generally associated with higher IFRs, or higher funding costs. In addition, we find that exposure to systematic funding liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency ...
Finance and Economics Discussion Series , Paper 2016-052

Journal Article
The Long and Short of It: The Post-Crisis Corporate CDS Market

The authors establish key stylized facts about the post-crisis evolution of trading and pricing of credit default swaps. Using supervisory contract-level data, they show that dealers became net buyers of credit protection starting in the second half of 2014, both through reducing the amount of protection they sell in the single-name market and switching to buying protection in the index market. More generally, they argue that considering simultaneous positions in different types of credit derivatives is crucial for understanding institutions’ decisions to participate in these markets and ...
Economic Policy Review , Volume 26 , Issue 3 , Pages 49

Report
The effect of the Term Auction Facility on the London inter-bank offered rate

The Term Auction Facility (TAF), the first auction-based liquidity initiative by the Federal Reserve during the global financial crisis, was aimed at improving conditions in the dollar money market and bringing down the significantly elevated London interbank offered rate (Libor). The effectiveness of this innovative policy tool is crucial for understanding the role of the central bank in financial stability, but academic studies disagree on the empirical evidence of the TAF effect on Libor. We show that the disagreement arises from misspecifications of econometric models. Regressions using ...
Staff Reports , Paper 335

Report
Prestigious stock exchanges: a network analysis of international financial centers

In this paper, we use methods from social network analysis to assess the relative importance of financial centers around the world. Using data from virtually the entire universe of global equity activity, we present two sets of complete rankings for up to forty-five separate locations for the 1990-2006 period. The first phase of our analysis evaluates international stock exchanges based on their ability to attract global initial public offerings (IPOs). The second phase compares the capacity of these exchanges to provide an efficient trading platform for cross-listed companies. U.S. exchanges ...
Staff Reports , Paper 384

Report
The Long and Short of It: The Post-Crisis Corporate CDS Market

We establish key stylized facts about the post-crisis evolution of trading and pricing of credit default swaps. Using supervisory contract-level data, we document that dealers become net buyers of credit protection starting in the second half of 2014, both through reducing the amount of protection they sell in the single-name market and through switching to buying protection in the index market. More generally, we argue that considering simultaneous positions in different types of credit derivatives is crucial for understanding institutions? participation decisions and how these decisions ...
Staff Reports , Paper 879

Report
It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities

We evaluate the impact of the Federal Reserve corporate credit facilities (PMCCF and SMCCF). A third of the positive effect on prices and liquidity occurred on the announcement date. We document immediate pass-through into primary markets, particularly for eligible issuers. Improvements continue as additional information is shared and purchases begin, with the impact of bond purchases larger than the impact of purchases of ETFs. Exploiting cross-sectional evidence, we see the greatest impact on investment grade bonds and in industries less affected by COVID, concluding that the improvement in ...
Staff Reports , Paper 935

Report
Information acquisition and financial intermediation

Informational advantages of specialists relative to households lead to disagreement between the two in an intermediated market. Although households can acquire additional signals to reduce the informational asymmetry, the additional information is costly, making it rational for households to limit the accuracy of the signals they observe. I show that this leads the equity capital constraint to bind more frequently, making the asset prices in the economy more volatile unconditionally. When disagreement between households and specialists is high, however, return volatility decreases. I find ...
Staff Reports , Paper 571

Journal Article
Case studies on disruptions during the crisis

The 2007-09 financial crisis saw many funding mechanisms challenged by a drastic reduction in market liquidity, a sharp increase in the cost of transactions, and, in some cases, a drying-up in financing. This article presents case studies of several key financial markets and intermediaries under significant distress at this time. For each case, the author discusses the size and evolution of the funding mechanism, the sources of the disruptions, and the policy responses aimed at mitigating distress and making markets more liquid. The review serves as a reference on the vulnerabilities of ...
Economic Policy Review , Issue Feb , Pages 17-28

Working Paper
The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all the outstanding U.S. Treasury securities. Our results indicate the existence of an economically and statistically significant scarcity premium, especially for shorter-term securities. The estimated scarcity effect is quite ...
Working Paper Series , Paper WP-2013-22

FILTER BY year

FILTER BY Content Type

FILTER BY Jel Classification

G12 9 items

G10 3 items

G18 3 items

C23 2 items

E43 2 items

show more (17)

FILTER BY Keywords

PREVIOUS / NEXT