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Journal Article
Too big to fail: the hazards of bank bailouts
Feldman, Ron J.; Stern, Gary H. (2008-05)
Excerpts from the 2004 book, ?Too Big To Fail: The Hazards of Bank Bailouts,? by Gary H. Stern and Ron J. Feldman.
The Region , Volume 22 , Issue May , Pages 12-17

Working Paper
Expected stock returns and variance risk premia
Zhou, Hao; Bollerslev, Tim (2006)
We find that the difference between implied and realized variances, or the variance risk premium, is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, with high (low) premia predicting high (low) future returns. The magnitude of the return predictability of the variance risk premium easily dominates that afforded by standard predictor variables like the P/E ratio, the dividend yield, the default spread, and the consumption-wealth ratio (CAY). Moreover, combining the variance ...
Finance and Economics Discussion Series , Paper 2007-11

Speech
Risk management in financial institutions: a speech at the Federal Reserve Bank of Chicago's Annual Conference on Bank Structure and Competition, Chicago, Illinois, May 15, 2008
Bernanke, Ben S. (2008)
Speech , Paper 400

Journal Article
Resolving large, complex financial firms
Greenlee, Mark B.; Fitzpatrick, Thomas J.; Thomson, James B. (2011-08)
How to best manage the failure of systemically important financial firms was the theme of a recent conference at which the latest research on the issue was presented. Here we summarize that research, the discussions that it sparked, and the areas where considerable work remains.
Economic Commentary , Issue Aug

Report
MBS ratings and the mortgage credit boom
Ashcraft, Adam B.; Vickery, James; Goldsmith-Pinkham, Paul (2010)
We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk (measured either ex ante or ex post), suggesting that ratings contain useful information for investors. However, we also find evidence of significant time variation in risk-adjusted credit ratings, including a progressive decline in standards around the MBS market peak between the start of 2005 and mid-2007. Conditional on initial ratings, we ...
Staff Reports , Paper 449

Journal Article
Worry less about systemic risk, more about inflation
Bullard, James B. (2008-10)
In his column, St. Louis Fed President Jim Bullard downplays systemic risk to the financial system, given that failures of financial institutions would no longer be a surprise. (By now, the possibility of any failure is already being priced into the market.) As the shakeout of the industry continues in a somewhat orderly fashion, policymakers need to put the fight against inflation back on the front burner.
The Regional Economist , Issue Oct , Pages 3

Working Paper
The effectiveness of unconventional monetary policy: the term auction facility
Thornton, Daniel L. (2010)
This paper investigates the effectiveness of one of the Fed?s unconventional monetary policy tools, the term auction facility (TAF). At issue is whether the TAF reduced the spread between LIBOR rates and equivalent-term Treasury rates by reducing the liquidity premium embedded in LIBOR rates. This paper suggests that rather than reducing the liquidity premium in LIBOR rates, the announcement of the TAF increased the risk premium in financial and other bond rates because market participants interpreted the announcement by the Fed and other central banks as a sign that the financial crisis was ...
Working Papers , Paper 2010-044

Journal Article
Securities loans collateralized by cash: reinvestment risk, run risk, and incentive issues
Keane, Frank M. (2013-05)
Securities loans collateralized by cash are by far the most popular form of securities-lending transaction. But when the cash collateral associated with these transactions is actively reinvested by a lender?s agent, potential risks emerge. This study argues that the standard compensation scheme for securities-lending agents, which typically provides for agents to share in gains but not losses, creates incentives for them to take excessive risk. It also highlights the need for greater scrutiny and understanding of cash reinvestment practices?especially in light of the AIG experience, which ...
Current Issues in Economics and Finance , Volume 19 , Issue May

Working Paper
Temporal risk aversion and asset prices
Heuvel, Skander J. van den (2008)
Agents with standard, time-separable preferences do not care about the temporal distribution of risk. This is a strong assumption. For example, it seems plausible that a consumer may find persistent shocks to consumption less desirable than uncorrelated fluctuations. Such a consumer is said to exhibit temporal risk aversion. This paper examines the implications of temporal risk aversion for asset prices. The innovation is to work with expected utility preferences that (i) are not time-separable, (ii) exhibit temporal risk aversion, (iii) separate risk aversion from the intertemporal ...
Finance and Economics Discussion Series , Paper 2008-37

Journal Article
Is shadow banking really banking?
Sengupta, Rajdeep; Noeth, Bryan J. (2011-10)
To those who don't know, the term "shadow banking" probably has a negative connotation. This primer draws parallels between what has been termed the shadow banking sector and the traditional banking sector?showing that they are similar in many ways.
The Regional Economist , Issue Oct , Pages 8-13

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