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Report
The fragility of short-term secured funding markets
von Thadden, Ernst-Ludwig; Skeie, David R.; Martin, Antoine (2013)
This paper develops a model of financial institutions that borrow short term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which determine whether a run can occur as a result of changing market expectations. We show that the extent to which borrowers can ward off an individual run depends on whether it has sufficient liquidity, collateral, and asset liquidation capacity. These ...
Staff Reports , Paper 630

Discussion Paper
The Odd Behavior of Repo Haircuts during the Financial Crisis
Copeland, Adam; Martin, Antoine (2012-09-17)
Since the financial crisis began, there’s been substantial debate on the role of haircuts in U.S. repo markets. (The haircut is the value of the collateral in excess of the value of the cash exchanged in the repo; see our blog post for more on repo markets.) In an influential paper, Gorton and Metrick show that haircuts increased rapidly during the crisis, a phenomenon they characterize as a general “run on repo.” Consequently, some policymakers and academics have considered whether regulating haircuts might help stabilize the repo markets, for example, by setting a minimum level so ...
Liberty Street Economics , Paper 20120917

Journal Article
Regulation’s role in bank changes
Olson, Peter (2012-07)
This is the first article in a series which explores the changing role of banks in the financial intermediation process. It accompanies a Liberty Street Blog series. Both discuss the complexity of the credit intermediation chain associated with securitization and note the growing participation of nonbank entities within it. These series also discuss implications for monitoring and rulemaking going forward. In the article, the author argues that government involvement has been a significant factor in financial innovation and describes a number of the regulatory, legal, and policy decisions ...
Economic Policy Review , Issue Jul , Pages 13-20

Journal Article
Are RPs money?
Scadding, John L. (1979)
FRBSF Economic Letter

Speech
What the Fed did and why
Tracy, Joseph (2010)
Remarks at the Westchester County Bankers Association, Tarrytown, New York.
Speech , Paper 27

Monograph
Instruments of the money market (foreword)
Cook, Timothy Q.; LaRoche, Robert K. (1993)
Monograph

Working Paper
Liquidity Regulation and Financial Intermediaries
Macchiavelli, Marco; Pettit, Luke (2018-12-06)
We document several effects of the Liquidity Coverage Ratio (LCR) rule on dealers' financing and intermediation of securities. For identification, we exploit the fact that the US implementation is more stringent than that in foreign jurisdictions. In line with LCR incentives, US dealers reduce their reliance on repos as a way to finance inventories of high-quality assets and increase the maturity of lower-quality repos relative to foreign dealers; additionally, US dealers cut back on trades that downgrade their own collateral. Dealers are nevertheless still providing significant maturity ...
Finance and Economics Discussion Series , Paper 2018-084

Report
The tri-party repo market before the 2010 reforms
Walker, Michael; Copeland, Adam; Martin, Antoine (2010)
This paper provides a descriptive and quantitative account of the tri-party repo market before the reforms proposed in 2010 by the Task Force on Tri-Party Repo Infrastructure (Task Force 2010). We provide an extensive description of the mechanics of this market. We also use data from July 2008 to early 2010 to document quantitative features of the market. We find that both the level of haircuts and the amount of funding were surprisingly stable in this market. The stability of the margins is in contrast to evidence from other repo markets. Perhaps surprisingly, the data reveal relatively few ...
Staff Reports , Paper 477

Report
How do stock repurchases affect bank holding company performance?
Hirtle, Beverly (2001-04-01)
Using data from bank holding company regulatory reports, we examine the relationship between stock repurchases and financial performance for a large sample of bank holding companies over the years 1987 to 1998. The primary result is that higher levels of repurchases in one year are associated with higher profitability and a lower share of problem loans in the subsequent year. This finding is robust to several different ways of measuring share repurchase activity. Our results appear to be driven primarily by bank holding companies with publicly traded stock, especially those companies whose ...
Staff Reports , Paper 123

Report
Repurchase agreements as an instrument of monetary policy at the time of the Accord
Garbade, Kenneth D. (2016-06-01)
Following the Treasury?Federal Reserve Accord of March 3, 1951, the Federal Open Market Committee (FOMC) focused on free reserves?the difference between excess reserves (reserve deposits in excess of reserve requirements) and borrowed reserves?as the touchstone of U.S. monetary policy. However, managing free reserves was problematic because highly variable and not readily predictable autonomous factors, including float, Treasury balances at Federal Reserve Banks, and currency in the hands of the public, induced comparable volatility and unpredictability in reserve deposits and hence in free ...
Staff Reports , Paper 780

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