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Showing results 1 to 10 of approximately 34.
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Speech
Asset bubbles and the implications for central bank policy
Remarks at The Economic Club of New York, New York City.
Speech
Remarks on the role of central bank interactions with financial markets
Remarks at New York University's Stern School of Business, New York City.
Speech
Managing the Federal Reserve's balance sheet
Remarks at 2010 CFA Institute Fixed Income Management Conference, Newport Beach, California.
Speech
Lessons learned from the financial crisis
Remarks at the Eighth Annual BIS Conference, Basel, Switzerland.
Journal Article
Monetary policy implementation: common goals but different practices
While the goals that guide monetary policy in different countries are very similar, central banks diverge in their methods of implementing policy. This study of the policy frameworks of four central banks?the Federal Reserve, the European Central Bank, the Bank of England, and the Swiss National Bank?focuses on two notable areas of difference. The first is the choice of an interest rate target, a standard feature of conventional monetary policy. The second is the choice of instruments for managing the central banks? expanded balance sheets?a decision made necessary by the banks? ...
Working Paper
Modelling the MIB30 implied volatility surface. Does market efficiency matter?
We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark. This result is robust to alternative econometric approaches, including generalized least squares approaches that take into account both the panel structure of the data and the likely presence of heteroskedasticity and serial correlation in ...
Journal Article
Liquid asset holdings of individuals and businesses
Working Paper
Measuring financial asset return and volatility spillovers, with application to global equity markets
The authors provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, they formulate and examine precise and separate measures of return spillovers and volatility spillovers. The authors framework facilitates study of both noncrisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically important. In particular, in an analysis of 19 global equity markets from the early 1990s to the present, they find striking evidence of divergent behavior in the dynamics of return spillovers vs. volatility ...
Journal Article
Robust capital regulation
Regulators and markets can find the balance sheets of large financial institutions difficult to penetrate, and they are mindful of how undercapitalization can create incentives to take on excessive risk. This study proposes a novel framework for capital regulation that addresses banks' incentives to take on excessive risk and leverage. The framework consists of a special capital account in addition to a core capital requirement. The special account would accrue to a bank's shareholders as long as the bank is solvent, but would pass to the bank's regulators?rather than its creditors?if the ...
Speech
Preparing for a smooth (eventual) exit
Remarks at the National Association for Business Economics Policy Conference, Arlington, Virginia