Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Negative Correlation between Stock and Futures Returns: An Unexploited Hedging Opportunity?
Basu, Parantap; Gavin, William T. (2011)
The negative correlation between equity and commodity futures returns is widely perceived by investors as an unexploited hedging opportunity. A Lucas (1982) asset-pricing model is adapted to analyze the fundamentals driving equity and commodity futures returns. Using the model we argue that such a negative correlation could arise as an equilibrium relationship which reflects traders' perceptions about the shocks driving the fundamentals such as energy and consumables, and does not necessarily indicate any hedging opportunity.
Working Papers , Paper 2011-005

Report
The private premium in public bonds
Wei, Chenyang; Kovner, Anna (2012)
This paper is the first to document the presence of a private premium in public bonds. We find that spreads are 31 basis points higher for public bonds of private companies than for bonds of public companies, even after controlling for observable differences, including rating, financial performance, industry, bond characteristics and issuance timing. The estimated private premium increases to 40-50 basis points when a propensity matching methodology is used or when we control for fixed issuer effects. Despite the premium pricing, bonds of private companies are no more likely to default or be ...
Staff Reports , Paper 553

Speech
Remarks on the role of central bank interactions with financial markets
Potter, Simon M. (2012)
Remarks at New York University's Stern School of Business, New York City.
Speech , Paper 94

Speech
From Gaps to Growth: Equity as a Path to Prosperity
Daly, Mary C. (2021-09-29)
Presentation to UCLA Anderson Forecast Webinar, by Mary C. Daly, President and Chief Executive Officer, Federal Reserve Bank of San Francisco, September 29, 2021
Speech

Working Paper
Assessment Frequency and Equity of the Real Property Tax: Latest Evidence from Philadelphia
Hou, Yulin; Ding, Lei; Schwegman, David; Barca, Alaina (2021-12-08)
Philadelphia’s Actual Value Initiative, adopted in 2013, createsa unique opportunity for us to test whether reassessments at short intervals to true market value and taxing by such values improve equity. Based on a difference-in-differences framework using parcel-level data matched with transactions in Philadelphia and 15 comparable cities, this study finds positive evidence on equity outcomes from more regular revaluations. The quality of assessment, as measured by the coefficient of dispersion, improves substantially after 2014, although the extent of improvement varies across ...
Working Papers , Paper 21-43

Working Paper
Financial market reactions to the Russian invasion of Ukraine
Neely, Christopher J. (2022-09-08)
This article analyzes financial market reactions to the Russia-Ukraine war with a focus on the opening weeks. Markets did not completely anticipate the war and asset price reactions strengthened from the first week—when there were hopes for a quick resolution—to the second week, when prices generally peaked and began to partially revert to pre-war values. Exposure to commodity trade and trade with Russia-Ukraine determined market perceptions of the riskiness of equity and foreign exchange assets. Credit default swap prices on sovereign debt and breakeven inflation rates indicate that ...
Working Papers , Paper 2022-032

Working Paper
The macroeconomics of firms' savings
Hnatkovska, Viktoria; Armenter, Roc (2011)
The authors document that the U.S. non-financial corporate sector became a net lender in the 2000s, using aggregate and firm-level data. They develop a structural model with investment, debt, and equity. Debt is fiscally advantageous but subject to a no-default borrowing constraint. Equity allows the firm to suspend dividends when the cash flow is negative. Firms accumulate financial assets for precautionary reasons, yet value equity as partial insurance against shocks. The calibrated model replicates the prevalence of net savings in the period 2000-2007 and attributes the rise in corporate ...
Working Papers , Paper 12-1

Journal Article
Housing busts and household mobility: an update
Tracy, Joseph; Gyourko, Joseph; Ferreira, Fernando (2012-11)
Interest in the relationship between household mobility and financial frictions, especially frictions associated with negative home equity, has grown following the recent boom and bust in U.S. housing markets. With prices falling 30 percent nationally, negative equity greatly expanded across many markets. More recently, the decline in mortgage rates along with various policy interventions to encourage refinancing at historically low rates suggests the need to also revisit mortgage interest rate lock-in effects, which are likely to become important once Federal Reserve interest rate policy ...
Economic Policy Review , Volume 18 , Issue Nov , Pages 1-15

Working Paper
Macroeconomic volatility and the equity premium
Sill, Keith (2006)
Recent empirical work documents a decline in the U.S. equity premium and a decline in the standard deviation of real output growth. We investigate the link between aggregate risk and the asset returns in a dynamic production based asset-pricing model. When calibrated to match asset return moments, the model implies that the post-1984 reduction in TFP shock volatility of 60 percent gives rise to a 40 percent decline in the equity premium. Lower macroeconomic risk post-1984 can account for a substantial fraction of the decline in the equity premium.
Working Papers , Paper 06-1

Working Paper
A margin call gone wrong: Credit, stock prices, and Germany's Black Friday 1927
Gissler, Stefan (2015-02-15)
Leverage is often seen as villain in financial crises. Sudden deleveraging may lead to fire sales and price pressure when asset demand is downward-sloping. This paper looks at the effects of changes in leverage on asset prices. It provides a historical case study where a large, well-identified shock to margin credit disrupted the German stock market. In May 1927, the German central bank forced banks to cut margin lending to their clients. However, this shock affected banks differentially; the magnitude of credit change differed across banks. Using the strong connections between banks and ...
Finance and Economics Discussion Series , Paper 2015-54

show more (1)

show more (17)

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