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Working Paper
Transparency and Collateral: The Design of CCPs' Loss Allocation Rules
Carli, Francesco; Carapella, Francesca; Antinolfi, Gaetano
(2019-08)
This paper adopts a mechanism design approach to study optimal clearing arrangements for bilateral financial contracts in which an assessment of counterparty risk is crucial for efficiency. The economy is populated by two types of agents: a borrower and lender. The borrower is subject to limited commitment and holds private information about the severity of such lack of commitment. The lender can acquire information at a cost about the commitment of the borrower, which affects the assessment of counterparty risk. When truthful revelation by the borrower is not incentive compatible, the ...
Finance and Economics Discussion Series
, Paper 2019-058
Working Paper
Microstructure Invariance in U.S. Stock Market Trades
Kyle, Albert S.; Obizhaeva, Anna A.; Tuzun, Tugkan
(2016-04-19)
This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993?2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly close to the value of 2/3 predicted by the invariance hypothesis. Over the 2001?14 period, the estimated coefficients rise, and their average value is equal to 0.79, suggesting that the reduction in tick size in 2001 and the subsequent increase in algorithmic trading resulted in a more intense order ...
Finance and Economics Discussion Series
, Paper 2016-034
Discussion Paper
Sophisticated and Unsophisticated Runs
Cipriani, Marco; La Spada, Gabriele
(2021-06-02)
In March 2020, U.S. prime money market funds (MMFs) suffered heavy outflows following the liquidity shock triggered by the COVID-19 crisis. In a previous post, we characterized the run on the prime MMF industry as a whole and the role of the liquidity facility established by the Federal Reserve (the Money Market Mutual Fund Liquidity Facility) in stemming the run. In this post, based on a recent Staff Report, we contrast the behaviors of retail and institutional investors during the run and explain the different reasons behind the run.
Liberty Street Economics
, Paper 20210602
Report
Design of contingent capital with a stock price trigger for mandatory conversion
Wang, Zhenyu; Sundaresan, Suresh
(2010-05-01)
Contingent capital (CC), a regulatory debt that must convert into common equity when a bank?s equity value falls below a specified threshold (a trigger), does not in general lead to a unique equilibrium in the prices of the bank?s equity and CC. Multiplicity or absence of equilibrium arises because economic agents are not allowed to choose a conversion policy in their best interests. The lack of unique equilibrium introduces the potential for price manipulation, market uncertainty, inefficient capital allocation, and unreliability of conversion. Because CC may not convert to equity in a ...
Staff Reports
, Paper 448
Journal Article
The Blockchain Revolution: Decoding Digital Currencies
Andolfatto, David; Martin, Fernando M.
(2022-07-14)
Cryptocurrencies and decentralized finance have grown considerably since the publication of the white paper on bitcoin in 2009. This article presents an overview of cryptocurrencies, blockchain technology, and their applications, explaining the spirit of the enterprise and how it compares with traditional operations. We discuss money, digital money, and payments; cryptocurrencies, blockchain, and the double-spending problem of digital money; decentralized finance; and central bank digital currency.
Review
, Volume 104
, Issue 3
, Pages 149-165
Journal Article
The Term Asset-Backed Securities Loan Facility
Caviness, Elizabeth; Sarkar, Asani; Goyal, Ankur; Park, Woojung
(2022-07-01)
The COVID-19 pandemic disrupted the asset-backed securities (ABS) market, resulting in higher spreads on ABS and briefly halting the issuance of some ABS. On March 23, 2020, the Federal Reserve established the Term Asset-Backed Securities Loan Facility (TALF) to support the flow of credit to consumers and businesses by re-enabling the issuance of ABS. In this article, the authors describe how TALF works, how much it was used, and its effect on the issuance and spreads of TALF-eligible securities relative to those of TALF-ineligible securities. They find that both the introduction of TALF and ...
Economic Policy Review
, Volume 28
, Issue 1
Report
COVID Response: The Paycheck Protection Program Liquidity Facility
Volker, Desi
(2021-09-01)
To bolster the effectiveness of the Small Business Administration’s Paycheck Protection Program (PPP), the Federal Reserve, with the backing of the Secretary of the Treasury, established the Paycheck Protection Program Liquidity Facility (PPPLF). The facility was intended to supply liquidity to financial institutions participating in the PPP and thereby provide relief to small businesses and help them maintain payroll. In this article, we lay out the background and rationale for the creation of the facility, cover the salient features of the PPP and the PPPLF, and analyze the facility’s ...
Staff Reports
, Paper 978
Working Paper
For Better and for Worse? Effects of Access to High-Cost Consumer Credit
Dobridge, Christine L.
(2016-07)
I provide empirical evidence that the effect of high-cost credit access on household material well-being depends on if a household is experiencing temporary financial distress. Using detailed data on household consumption and location, as well as geographic variation in access to high cost payday loans over time, I find that payday credit access improves wellbeing for households in distress by helping them smooth consumption. In periods of temporary financial distress?after extreme weather events like hurricanes and blizzards?I find that payday loan access mitigates declines in spending on ...
Finance and Economics Discussion Series
, Paper 2016-056
Working Paper
Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle
Forbes, Kristin J.; Dilts Stedman, Karlye; Chari, Anusha
(2021-12-17)
Evidence suggests that macroprudential policy has small and insignificant effects on the volume of portfolio flows. We show, however, that these minor effects mask very different relationships across the global financial cycle. A tighter ex-ante macroprudential stance amplifies the impact of global risk shocks on bond and equity flows—increasing outflows by significantly more during risk-off episodes and increasing inflows significantly more during risk on episodes. These amplification effects are more prominent at the “extremes,” especially for extreme risk-off periods, and are larger ...
Research Working Paper
, Paper RWP 21-16
Working Paper
Quantitative Easing and Financial Risk Taking: Evidence from Agency Mortgage REITs
Frame, W. Scott; Steiner, Eva
(2020-06-30)
An emerging literature documents a link between central bank quantitative easing (QE) and financial institution credit risk-taking. This paper tests the complementary hypothesis that QE may also affect financial risk-taking. We study Agency MREITs – levered shadow banks that invest in guaranteed U.S. Agency mortgage-backed securities (MBS) principally funded with repo debt. We show that Agency MREIT growth is inversely related to the Federal Reserve’s Agency MBS purchases, reflecting investor portfolio rebalancing. We also find that these institutions increased leverage during the later ...
Working Papers
, Paper 2020
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Currency crises 1 items
Dealer 1 items
Dealer Inventory 1 items
Dealers 1 items
Debt 1 items
Debt Overhang 1 items
Debt relief 1 items
Default Risk 1 items
Diary of Consumer Payment Choice 1 items
Differentiated product demand systems 1 items
Digital banks 1 items
Digital currency 1 items
Disclosure 1 items
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Disintermediation 1 items
Distance 1 items
Distressed debt 1 items
Dodd-Frank act 1 items
Dollar 1 items
Dollar convenience yield 1 items
EBITDA 1 items
Economic Impact Payments 1 items
Entry barriers 1 items
Expense ratio 1 items
FHA 1 items
Fama-French 1 items
Federal Home Loan Banks 1 items
Federal Reserve Bank of Chicago 1 items
Federal Reserve Board 1 items
Federal Reserve Board and Federal Reserve System 1 items
Federal Reserve System operations 1 items
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FinTech/marketplace lending 1 items
Finance companies 1 items
Financial Frictions 1 items
Financial Instruments 1 items
Financial crises 1 items
Financial institutions 1 items
Financial stability and risk 1 items
Financial vulnerabilities 1 items
Fintechs 1 items
First-mover advantage 1 items
Fixed-rate mortgage 1 items
Flows 1 items
Forbearance 1 items
Foreign exchange rate hedge 1 items
Fund managers 1 items
GAAP 1 items
Ginnie Mae 1 items
Global financial institutions 1 items
Government Policy and Regulation 1 items
Great Depression 1 items
Great Recession 1 items
Green bond premium 1 items
Green bonds 1 items
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High Yield Bonds 1 items
Home Mortgage Disclosure Act (HMDA) data 1 items
Homeownership 1 items
Housing 1 items
IBR 1 items
ICR 1 items
IDR 1 items
ISA 1 items
Information sensitivity 1 items
Information‐insensitive assets 1 items
Insurance companies 1 items
Interactions between banks and nonbanks 1 items
Interagency Guidance on Leveraged Lending 1 items
Interconnections 1 items
Interest rates 1 items
Internal capital markets 1 items
International capital flows 1 items
Intertemporal CAPM 1 items
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
Pipeline Risk 1 items
Portfolio choice 1 items
Portfolio liquidity 1 items
Precautionary cash 1 items
Prepaid cards 1 items
Private Equity 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
Tokenization 1 items
Too Big To Fail 1 items
Trade Reporting and Compliance Engine 1 items
Trade-off Theory 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
Web3 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
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