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Working Paper
How Does Monetary Policy Affect Prices of Corporate Loans?
Kwak, Seung
(2022-02-25)
We study the impact of unanticipated monetary policy news around FOMC announcements on secondary market corporate loan spreads. We find that the reaction of loan spreads to monetary policy news is weaker than that of bond spreads: following an unanticipated monetary policy tightening (easing) shock, loan spreads do not increase (decrease) as much as bond spreads do. Decomposition of the spreads into compensations for expected defaults and risk premiums shows that differential reactions of loan and bond risk premiums are the main driver of the differential spread reactions. We further find ...
Finance and Economics Discussion Series
, Paper 2022-008
Report
Intraday market making with overnight inventory costs
Vogt, Erik; Fleming, Michael J.; Zhang, Hongzhong; Capponi, Agostino; Adrian, Tobias
(2016-10-01)
The U.S. Treasury market is highly intermediated by nonbank principal trading firms (PTFs). Limited capital forces PTFs to end the trading day roughly flat. We construct a continuous time market making model to analyze the trade-off faced by a profit-maximizing firm with overnight inventory costs, and develop closed-form representations of the optimal price policy functions. Our model reveals that bid-ask spreads widen as the end of the trading day approaches, and that increases in order arrival rates do not always lead to higher price volatility. Our empirical analysis shows that ...
Staff Reports
, Paper 799
Journal Article
An empirical analysis of the GCF Repo® Service
Davis, Isaac; Copeland, Adam; Martin, Antoine
(2015)
This article examines how dealers use the GCF Repo service. It begins by explaining the strategies that dealers employ when trading GCF Repo and then uses empirical analysis to quantify the predominance of these strategies. Looking across all dealers and all days, the study finds that on an average day, at least 23 percent of dealers focus on strategies to raise cash and at least 20 percent focus on managing their inventory of securities. This activity involves using GCF Repo to both exclusively source collateral and perform collateral swaps.
Economic Policy Review
, Issue 2
, Pages 25-37
Report
Buyout activity: the impact of aggregate discount rates
Haddad, Valentin; Loualiche, Erik; Plosser, Matthew
(2013)
Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is the primary determinant of buyout activity rather than credit-specific conditions. We articulate a simple explanation for this phenomenon: a low risk premium increases the present value of performance gains and decreases the cost of holding an illiquid investment. A panel of U.S. buyouts confirms this view. The risk premium shapes changes in buyout characteristics over the cycle, including their riskiness, leverage, and performance. Our results underscore the importance of the ...
Staff Reports
, Paper 606
Working Paper
Reputation and Investor Activism: A Structural Approach
Swem, Nathan; Johnson, Travis L.
(2020-10-15)
We measure the impact of reputation for proxy fighting on investor activism by estimating a dynamic model in which activists engage a sequence of target firms. Our estimation produces an evolving reputation measure for each activist and quantifies its impact on campaign frequency and outcomes. We find that high reputation activists initiate 3.5 times as many campaigns and extract 85% more settlements from targets, and that reputation-building incentives explain 20% of campaign initiations and 19% of proxy fights. Our estimates indicate these reputation effects combine to nearly double the ...
Finance and Economics Discussion Series
, Paper 2017-036r1
Working Paper
Financing Affordable and Sustainable Homeownership with Fixed-COFI Mortgages
Passmore, Wayne; von Hafften, Alexander H.
(2018-02-05)
The 30-year fixed-rate fully amortizing mortgage (or ?traditional fixed-rate mortgage?) was a substantial innovation when first developed during the Great Depression. However, it has three major flaws. First, because homeowner equity accumulates slowly during the first decade, homeowners are essentially renting their homes from lenders. With this sluggish equity accumulation, many lenders require large down payments. Second, in each monthly mortgage payment, homeowners substantially compensate capital markets investors for the ability to prepay. The homeowners might have better uses for this ...
Finance and Economics Discussion Series
, Paper 2018-009
Working Paper
Money Market Fund Vulnerabilities: A Global Perspective
Bouveret, Antoine; Martin, Antoine; McCabe, Patrick E.
(2022-03-22)
Money market funds (MMFs) are popular around the world, with over $9 trillion in assets under management globally. From their origins in the 1970s, MMFs have operated in a niche between the capital markets and the banking system, as investment funds that offer private money‐like assets with features similar to those of bank deposits. Hence, they are vulnerable to runs that arise from liquidity transformation and from sudden changes in investor perceptions of the funds’ ability to serve as money‐like assets. Since 2000, MMF runs have occurred in many countries and under many regulatory ...
Finance and Economics Discussion Series
, Paper 2022-012
Working Paper
Liquidity Crises in the Mortgage Market
Stanton, Richard; Laufer, Steven; Pence, Karen M.; Kim, You Suk; Wallace, Nancy
(2018-03-08)
Non-banks originated about half of all mortgages in 2016, and 75% of mortgages insured by the FHA or VA. Both shares are much higher than those observed at any point in the 2000s. We describe in this paper how non-bank mortgage companies are vulnerable to liquidity pressures in both their loan origination and servicing activities, and we document that this sector in aggregate appears to have minimal resources to bring to bear in a stress scenario. We show how the same liquidity issues unfolded during the financial crisis, leading to the failure of many non-bank companies, requests for ...
Finance and Economics Discussion Series
, Paper 2018-016
Report
Trends in credit market arbitrage
Boyarchenko, Nina; Gupta, Pooja; Steele, Nick; Yen, Jacqueline
(2016-07-01)
Market participants and policymakers alike were surprised by the large, prolonged dislocations in credit market arbitrage trades during the second half of 2015 and the first quarter of 2016. In this paper, we examine three explanations proposed by market participants: increased idiosyncratic risks, strategic positioning by some market participants, and regulatory changes. We find some evidence of increased idiosyncratic risk during the relevant period but limited evidence of asset managers changing their positioning in derivative products. While we cannot quantify the contribution of these ...
Staff Reports
, Paper 784
Working Paper
Monetary Policy Implementation and Private Repo Displacement : Evidence from the Overnight Reverse Repurchase Facility
Kandrac, John; Anderson, Alyssa G.
(2016-10-31)
In recent years, the scale and scope of major central banks' intervention in financial markets has expanded in unprecedented ways. In this paper, we demonstrate how monetary policy implementation that relies on such intervention in financial markets can displace private transactions. Specifically, we examine the experience with the Federal Reserve's newest policy tool, known as the overnight reverse repurchase (ONRRP) facility, to understand its effects on the repo market. Using exogenous variation in the parameters of the ONRRP facility, we show that participation in the ONRRP comes from ...
Finance and Economics Discussion Series
, Paper 2016-096
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Investor concentration 1 items
Jumbo mortgages 1 items
Large and small banks 1 items
Lead Arranger Share 1 items
Lending technology 1 items
Leverage 1 items
Leveraged lending 1 items
Leveraged loan market 1 items
Limits of arbitrage 1 items
Liquidity regulation 1 items
Liquidtiy Regulation 1 items
Loan pricing 1 items
Long-run risks 1 items
M-CAPM 1 items
Macroprudential regulation 1 items
Market-Making 1 items
Marketplace lending 1 items
Maturity 1 items
Medical research risk 1 items
Monetary policy spillovers 1 items
Money Market Mutual Fund Liquidity Facility 1 items
Mortgage finance 1 items
Mortgage market 1 items
Mortgage servicers 1 items
Mortgage servicing 1 items
Mortgage-backed securities (MBS) 1 items
Mortgages and credit 1 items
Mutual fund flows 1 items
Networks 1 items
Non-bank credit 1 items
Non-banks 1 items
Nonbank institutions 1 items
OTC market 1 items
Over-the-counter markets 1 items
P2P lending 1 items
Pawnshops 1 items
Paycheck Protection Program Liquidity Facility 1 items
Payday 1 items
Payday loans 1 items
Peer-to-peer lending 1 items
Pensions 1 items
Performance 1 items
Performance Persistence 1 items
Personal loans 1 items
Pipeline Risk 1 items
Portfolio choice 1 items
Portfolio liquidity 1 items
Precautionary cash 1 items
Prepaid cards 1 items
Prosper marketplace 1 items
Push and pull factors 1 items
Quantile regression 1 items
REIT 1 items
REITs 1 items
Recourse 1 items
Redemption risk 1 items
Regulation 1 items
Rehypothecation 1 items
Relative value 1 items
Repo market 1 items
Risk 1 items
Risk management 1 items
Risk-based capital regulation 1 items
SBA 1 items
Safe assets 1 items
Safe debt 1 items
Securities markets 1 items
Shadow banks 1 items
Shared National Credit (SNC) data 1 items
Signaling 1 items
Small Business Administration 1 items
Social insurance 1 items
Sovereign risk 1 items
Specialization 1 items
Spillovers 1 items
Stock market 1 items
Structural Estimation 1 items
Subprime credit 1 items
Survey of Consumer Payment Choice 1 items
Sustainable finance 1 items
Syndicated loan market 1 items
Tail risk 1 items
Technology 1 items
Title Lenders 1 items
Too Big To Fail 1 items
Trade Reporting and Compliance Engine 1 items
Trades and Quotes (TAQ) data 1 items
Trading by banks 1 items
Travel Costs 1 items
Treasury markets 1 items
U.S. bank lending 1 items
U.S. dollar exchange rate 1 items
Unconventional Monetary Policy 1 items
Volcker Rule 1 items
active management 1 items
activism 1 items
add-backs 1 items
all-to-all 1 items
asset prices 1 items
asset pricing models 1 items
available-for-sale 1 items
bank 1 items
bank and non-bank finance 1 items
bank credit 1 items
bank regulation 1 items
bank‐like services 1 items
beta 1 items
board structure 1 items
bond markets 1 items
borrower performance 1 items
boundary of the firm 1 items
buyouts 1 items
capital regulations 1 items
capital requirements 1 items
checking accounts 1 items
clearinghouses 1 items
clustering 1 items
collateralized debt obligations 1 items
comovement 1 items
concentration 1 items
consumer credit access 1 items
contingent capital 1 items
contracting 1 items
control rights 1 items
corporate bond markets 1 items
corporate bond mutual funds 1 items
corporate transparency 1 items
cost of capital 1 items
countercyclical capital buffers 1 items
cov-lite 1 items
covenant 1 items
credit availability 1 items
credit cycles 1 items
credit offers 1 items
cryptocurrencies 1 items
cyberattacks 1 items
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