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Keywords:Portfolio management 

Journal Article
The Federal Reserve’s Commercial Paper Funding Facility

Established in the wake of Lehman Brothers? bankruptcy to stabilize severe disruptions in the commercial paper market, the Commercial Paper Funding Facility (CPFF) allowed the Federal Reserve to act as a lender of last resort for issuers of commercial paper, thereby effectively addressing temporary liquidity distortions and alleviating the severe funding stress that threatened to further exacerbate the financial crisis. In doing so, the CPFF can be considered a noteworthy model of liquidity provision in a market-based financial system, where maturity transformation occurs outside of the ...
Economic Policy Review , Volume 17 , Issue May , Pages 25-39

Speech
A new era of bank supervision

Remarks at the New York Bankers Association Financial Services Forum, New York City.
Speech , Paper 65

Working Paper
U.S. international equity investment and past prospective returns

Counter to extant stylized facts, using newly available data on country allocations in U.S. investors' foreign equity portfolios we find that (i) U.S. investors do not exhibit returns-chasing behavior, but, consistent with partial portfolio rebalancing, tend to sell past winners; and (ii) U.S. investors increase portfolio weights on a country's equity market just prior to its strong performance, behavior inconsistent with an informational disadvantage. Over the past two decades, U.S. investors' foreign equity portfolios outperformed a value-weighted foreign benchmark by 160 basis points per ...
International Finance Discussion Papers , Paper 1016

Conference Paper
Portfolio lending decisions at small commercial banks

Proceedings , Paper 941

Working Paper
Diversification across characteristics

I study long-short portfolio strategies formed on seven different stock characteristics representing various measures of past returns, value, and size. Each individual characteristic results in a profitable portfolio strategy, but these single-characteristic strategies are all dominated by a diversified strategy that places equal weight on each of the single-characteristic strategies. The benefits of diversifying across characteristic-based long-short strategies are substantial and can be attributed to the mostly low, and sometimes substantially negative, correlation between the returns on ...
International Finance Discussion Papers , Paper 986

Working Paper
Search in asset markets: market structure, liquidity, and welfare

This paper investigates how market structure affects efficiency and several dimensions of liquidity in an asset market. To this end, we generalize the search-theoretic model of financial intermediation of Darrell Duffie et al. (2005) to allow for entry of dealers and unrestricted asset holdings.
Working Papers (Old Series) , Paper 0701

Working Paper
Search in asset markets

We investigate how trading frictions in asset markets affect portfolio choices, asset prices and efficiency. We generalize the search-theoretic model of financial intermediation of Duffie, Grleanu and Pedersen (2005) to allow for more general preferences and idiosyncratic shock structure, unrestricted portfolio choices, aggregate uncertainty and entry of dealers. With a fixed measure of dealers, we show that a steady-state equilibrium exists and is unique, and provide a condition on preferences under which a reduction in trading frictions leads to an increase in the price of the asset. We ...
Working Papers (Old Series) , Paper 0607

Working Paper
Characteristic-based mean-variance portfolio choice

We study empirical mean-variance optimization when the portfolio weights are restricted to be direct functions of underlying stock characteristics such as value and momentum. The closed-form solution to the portfolio weights estimator shows that the portfolio problem in this case reduces to a mean-variance analysis of assets with returns given by single-characteristic strategies (e.g., momentum or value). In an empirical application to international stock return indexes, we show that the direct approach to estimating portfolio weights clearly beats a naive regression-based approach that ...
International Finance Discussion Papers , Paper 981

Speech
Implementing the Federal Reserve's asset purchase program

Remarks at Global Interdependence Center Central Banking Series Event, Federal Reserve Bank of Philadelphia.
Speech , Paper 42

Speech
The implementation of recent monetary policy actions

Remarks at the Annual Meeting with Primary Dealers, New York City.
Speech , Paper 64

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Liquidity (Economics) 8 items

Federal Reserve System 7 items

Federal Open Market Committee 6 items

Mortgage-backed securities 6 items

Treasury bonds 6 items

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