Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices
D'Amico, Stefania; Kim, Don H.; Wei, Min (2014-01-31)
Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no-arbitrage term structure models, we show that TIPS yields exceeded risk-free real yields by as much as 100 basis points when TIPS were first issued and up to 300 basis points during the recent financial crisis. This spread reflects predominantly the poorer liquidity of TIPS relative to nominal Treasury securities. Other factors, including the indexation lag and the embedded deflation protection in TIPS, play a much smaller role. Ignoring this spread also significantly distorts the ...
Finance and Economics Discussion Series , Paper 2014-24

Discussion Paper
Cross-Country Evidence on Transmission of Liquidity Risk through Global Banks
Chapman, James T. E.; Goldberg, Linda S.; Buch, Claudia M. (2014-10-01)
Over the past thirty years, the typical large bank has become a global entity with subsidiaries in many countries. In parallel, financial liberalization has increased the interconnectedness of banking systems, with domestic banking systems becoming more exposed to shocks transmitted through foreign banks. This globalization of banking propagated liquidity risk during the global financial crisis and subsequent euro area crisis. Unfortunately, little is known about how cross-border operations of global banks transmit liquidity shocks between countries. The seminal work by Peek and Rosengren ...
Liberty Street Economics , Paper 20141001

Working Paper
Funds of Funds' Portfolio Rebalancing during the COVID-19 Crisis
Foley-Fisher, Nathan; Lee, Jeongmin (2025-12-15)
During the COVID-19 crisis, large outflows from bond mutual funds disrupted debt markets. We show that ""funds of funds""-mutual funds that invest in other mutual funds-accounted for a third of those outflows in March 2020. They rebalanced their portfolios mechanically in response to equity market losses, selling bond funds and purchasing equity funds. While they sold 14 percent of their total bond fund holdings, they concentrated sales in government bond funds, liquidating 34 percent of their holdings, over 100 percent of outflows from these funds. Our findings highlight how mechanical ...
Finance and Economics Discussion Series , Paper 2025-106

Discussion Paper
Has U.S. Treasury Market Liquidity Deteriorated?
Vogt, Erik; Fleming, Michael J.; Adrian, Tobias; Stackman, Daniel (2015-08-17)
The issue of financial market liquidity has received tremendous attention lately. This partly arises from market participants' concerns that regulatory and structural changes have reduced dealers' market making abilities, but also from events such as the taper tantrum and the flash rally, in which Treasury prices fluctuated sharply amid seemingly little news. But is there really evidence of a sustained reduction in Treasury market liquidity?
Liberty Street Economics , Paper 20150817

Working Paper
Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry
Harris, Jeffrey H.; Brunetti, Celso; Mankad, Shawn (2021-03-19)
Network analysis has demonstrated that interconnectedness among market participants results in spillovers, amplifies or absorbs shocks, and creates other nonlinear effects that ultimately affect market health. In this paper, we propose a new directed network construct, the liquidity network, to capture the urgency to trade by connecting the initiating party in a trade to the passive party. Alongside the conventional trading network connecting sellers to buyers, we show both network types complement each other: Liquidity networks reveal valuable information, particularly when information ...
Finance and Economics Discussion Series , Paper 2021-017

Working Paper
A Day Late and a Dollar Short : Liquidity and Household Formation among Student Borrowers
Goodman, Sarena; Yannelis, Constantine; Isen, Adam (2018-04-13)
The federal government encourages human capital investment through lending and grant programs, but resources from these programs may also finance non-education activities for students whose liquidity is otherwise restricted. This paper explores this possibility, using administrative data for the universe of federal student loan borrowers linked to tax records. We examine the effects of a sharp discontinuity in program limits?generated by the timing of a student borrower?s 24th birthday?on household formation early in the lifecycle. After demonstrating that this discontinuity induces a jump in ...
Finance and Economics Discussion Series , Paper 2018-025

Working Paper
Credit and Liquidity Policies during Large Crises
Ebsim, Mahdi; Faria-e-Castro, Miguel; Kozlowski, Julian (2021-09-10)
We study the evolution of firm financials during two large crises: the Great Financial Crisis (GFC) and the COVID-19 pandemic. While the two crises featured similar increases in corporate spreads, corporate debt and liquid asset holdings moved in opposite directions. The micro-data reveal that firm leverage was a more important predictor of firm-level credit spreads and investment during the GFC, but that firm funding liquidity was more important during the pandemic. We augment a dynamic model of firm capital structure with an explicit motive to hold liquid assets, and calibrate it to match ...
Working Papers , Paper 2020-035

Report
Measuring treasury market liquidity
Fleming, Michael J. (2001)
This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R statistic above 30 percent for the two-year note. The price impact coefficients are highly correlated with bid-ask spreads and with episodes of reported poor liquidity (such as the fall 1998 financial markets turmoil). Quote and trade sizes correlate modestly with these episodes ...
Staff Reports , Paper 133

Working Paper
Mortgage Debt, Consumption, and Illiquid Housing Markets in the Great Recession
Garriga, Carlos; Hedlund, Aaron (2017-10-01)
Using a model with housing search, endogenous credit constraints, and mortgage default, this paper accounts for the housing crash from 2006 to 2011 and its implications for aggregate and cross-sectional consumption during the Great Recession. Left tail shocks to labor market uncertainty and tighter down payment requirements emerge as the key drivers. An endogenous decline in housing liquidity amplifies the recession by increasing foreclosures, contracting credit, and depressing consumption. Balance sheets act as a transmission mechanism from housing to consumption that depends on gross ...
Working Papers , Paper 2017-30

Discussion Paper
Introduction to a Series on Market Liquidity
Adrian, Tobias; Schaumburg, Ernst; Fleming, Michael J. (2015-08-17)
Market participants and policymakers have recently raised concerns about market liquidity?the ability to buy and sell securities quickly, at any time, at minimal cost. Market liquidity supports the efficient allocation of capital through financial markets, which is a catalyst for sustainable economic growth. Changes in market liquidity, whether due to regulation, changes in market structure, or otherwise, are therefore of great interest to policymakers and market participants alike.
Liberty Street Economics , Paper 20150817

show more (59)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords