Search Results

Showing results 1 to 10 of approximately 34.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Assets (Accounting) 

Speech
The implementation of current asset purchases

Remarks at the Annual Meeting with Primary Dealers, New York City.
Speech , Paper 98

Speech
The SOMA portfolio at $2.654 trillion

Remarks by Brian P. Sack before the Money Marketeers of New York University, New York City.
Speech , Paper 60

Report
Financial amplification of foreign exchange risk premia

Theories of systemic risk suggest that financial intermediaries? balance-sheet constraints amplify fundamental shocks. We provide supporting evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals and a component associated with financial intermediaries? balance sheets. Relative to the benchmark model with only macroeconomic state variables, balance sheets amplify the U.S. dollar risk premium. We discuss applications to systemic risk monitoring.
Staff Reports , Paper 461

Report
Financial intermediary leverage and value at risk

We study a contracting model for the determination of leverage and balance sheet size for financial intermediaries that fund their activities through collateralized borrowing. The model gives rise to two features: First, leverage is procyclical in the sense that leverage is high when the balance sheet is large. Second, leverage and balance sheet size are both determined by the riskiness of assets. For U.S. investment banks, we find empirical support for both features of our model, that is, leverage is procyclical, and both leverage and balance sheet size are determined by measured risks. In a ...
Staff Reports , Paper 338

Report
Funding liquidity risk and the cross-section of stock returns

We derive equilibrium pricing implications from an intertemporal capital asset pricing model where the tightness of financial intermediaries? funding constraints enters the pricing kernel. We test the resulting factor model in the cross-section of stock returns. Our empirical results show that stocks that hedge against adverse shocks to funding liquidity earn lower average returns. The pricing performance of our three-factor model is surprisingly strong across specifications and test assets, including portfolios sorted by industry, size, book-to-market, momentum, and long-term reversal. ...
Staff Reports , Paper 464

Report
How "unconventional" are large-scale asset purchases? The impact of monetary policy on asset prices

This paper examines the impact of large-scale asset purchases (LSAP) on U.S. asset prices (nominal and inflation-indexed bonds, stocks, and U.S. dollar spot exchange rates) using an event study with intraday data. The surprise component of LSAP announcements is identified from Financial Times articles. Estimation results show that the LSAP news has economically large and highly significant effects on asset prices, even after controlling for the surprise component of the Fed's conventional target rate decision and communication about its future path of policy. This study documents that the ...
Staff Reports , Paper 560

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 ...
Working Papers , Paper 2005-008

Working Paper
Properties of equilibrium asset prices under alternative learning schemes

This paper characterizes equilibrium asset prices under adaptive, rational and Bayesian learning schemes in a model where dividends evolve on a binomial lattice. The properties of equilibrium stock and bond prices under learning are shown to differ significantly compared with prices under full information rational expectations. Learning causes the discount factor and risk-neutral probability measure to become path-dependent and introduces serial correlation and volatility clustering in stock returns. We also derive conditions under which the expected value and volatility of stock prices will ...
Working Papers , Paper 2005-009

Journal Article
Asset building and the wealth gap

Building and maintaining financial security is increasingly difficult for a growing portion of American households. Wealth is less prevalent in middle-class households and increasing among the already well-to-do. At the same time, poverty is growing and concentrating disproportionately among the nonwhite population. As the cost of living outpaces income and wealth accumulation, a majority of U.S. households are ill-prepared for financial emergencies or retirement.
Banking and Community Perspectives , Issue 3

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? ...
Current Issues in Economics and Finance , Volume 17 , Issue Nov

FILTER BY year

FILTER BY Content Type

Report 9 items

Speech 9 items

Working Paper 9 items

Journal Article 7 items

FILTER BY Author

FILTER BY Keywords

Assets (Accounting) 34 items

Monetary policy 9 items

Federal Reserve System 8 items

Interest rates 7 items

Federal Open Market Committee 6 items

Liquidity (Economics) 6 items

show more (71)

PREVIOUS / NEXT