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Journal Article
Financial instruments for mitigating credit risk
Lopez, Jose A. (2001)
FRBSF Economic Letter

Working Paper
A closer look at the sensitivity puzzle: the sensitivity of expected future short rates and term premia to macroeconomic news
Beechey, Meredith J. (2006)
Nominal forward rates are sensitive at surprisingly long horizons to macroeconomic news and monetary-policy surprises. This paper takes advantage of affine term-structure modelling to demonstrate that movements in term premia, not expected future short rates, account for most of the reaction of forward rates at long horizons. Specifically, term premia account for about three quarters of the reaction of nominal forward rates 10 to 15 years hence to the surprise component of numerous macroeconomic news announcements. This has strong implications for the interpretation of interest-rate ...
Finance and Economics Discussion Series , Paper 2007-06

Journal Article
Statement to Congress, May 25, 1994 (Federal Reserve Board's views on GAO's report on financial derivatives)
Greenspan, Alan (1994-07)
Federal Reserve Bulletin , Issue Jul

Conference Paper
Comments on systemic risk
Basing, Malcolm P. (1993)
Proceedings , Paper 397

Conference Paper
On the credit risk of OTC derivative users
Bhasin, Vijay (1997)
Proceedings , Paper 554

Discussion Paper
Who holds the toxic waste? An investigation of CMO holdings
Lucas, Deborah J.; Haubrich, Joseph G. (2007-06)
Toxic waste refers to the riskiest derivative structures arising from collateralized mortgage obligations (CMOs). We use simulations to predict how this risk would manifest itself in various interest rate environments. We also look for evidence on the total dollar value of these securities, who holds them, and how much they hold. Very limited public information is available, but commercial banks are required to report on their holdings, and we investigate the extent to which the risk is concentrated in that sector.
Policy Discussion Papers , Issue Jun

Working Paper
Bank derivative activity in the 1990s
Shen, Pu; Heinecke, Ken (1995)
This paper tries to grasp banks' motivation for entering derivative markets. The motivation question is interesting for the following reason: if banks' main motivation for using derivatives is speculation, derivatives are likely to increase the risk to banks' capital and thus increase the cost of deposit insurance. ; The first major finding of the paper is that currently available data are not informative of banks' usage of derivatives. We find no evidence that derivatives are mainly used for speculation purposes. There is some indication that users of derivatives are interested in expanding ...
Research Working Paper , Paper 95-12

Journal Article
Statement to Congress, July 12, 2000 (H.R. 4541, the Commodity Futures Modernization Act of 2000)
Parkinson, Patrick M. (2000-09)
Federal Reserve Bulletin , Issue Sep , Pages 644-645

Journal Article
What explains the growth in commodity derivatives?
Gavin, William T.; Basu, Parantap (2011-01)
This article documents the massive increase in trading in commodity derivatives over the past decade?growth which far outstrips the growth in commodity production and the need for derivatives to hedge risk by commercial producers and users of commodities. During the past decade, many institutional portfolio managers added commodity derivatives as an asset class to their portfolios. This addition was part of a larger shift in portfolio strategy away from traditional equity investment and toward derivatives based on assets such as real estate and commodities. Institutional investors? use of ...
Review , Volume 93 , Issue Jan , Pages 37-48

Journal Article
Statement to Congress, July 19, 2000 (H.R. 4541, the Commodity Futures Modernization Act of 2000)
Parkinson, Patrick M. (2000-09)
Federal Reserve Bulletin , Issue Sep

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