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Keywords:Securities 

Working Paper
Market-based loss mitigation practices for troubled mortgages following the financial crisis

The meltdown in residential real-estate prices that commenced in 2006 resulted in unprecedented mortgage delinquency rates. Until mid-2009, lenders and servicers pursued their own individual loss mitigation practices without being significantly influenced by government intervention. Using a unique dataset that precisely identifies loss mitigation actions, we study these methods?liquidation, repayment plans, loan modification, and refinancing?and analyze their effectiveness. We show that the majority of delinquent mortgages do not enter any loss mitigation program or become a part of ...
Working Paper Series , Paper WP-2011-03

Conference Paper
The lender's view of debt and equity: the case of pension funds

Conference Series ; [Proceedings] , Volume 33 , Pages 106-135

Journal Article
Capital treatment of trust preferred securities changes

Financial Update , Volume 18 , Issue Q 3

Working Paper
Do actions speak louder than words? the response of asset prices to monetary policy actions and statements

We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor--changes in the federal funds rate target-and find that they are not. Instead, we find that two factors are required. These factors have a structural interpretation as a "current federal funds rate target" factor and a "future path of policy" factor, with the latter closely associated with FOMC statements. We measure the effects of these two factors on bond yields and stock prices using a new intraday ...
Finance and Economics Discussion Series , Paper 2004-66

Journal Article
The role of currency derivatives in internationally diversified portfolios

Diversification is widely practiced by investors seeking to reduce risk. In recent years investors have been turning to foreign markets to obtain even greater scope for diversification than domestic markets offer. With the internationalization of security portfolios, however, also comes an additional risk-foreign exchange risk. ; The use of currency derivatives in internationally diversified portfolios can help mitigate foreign exchange risk. This article investigates the impact of currency hedging on these portfolios, in particular index portfolios of stocks and bonds from markets in seven ...
Economic Review , Volume 82 , Issue Q 3 , Pages 34-59

Working Paper
Large capital infusions, investor reactions, and the return and risk performance of financial institutions over the business cycle and recent finanical crisis

We examine investors? reactions to announcements of large capital infusions by U.S. financial institutions (FIs) from 2000 to 2009. These infusions include private market infusions (seasoned equity offerings (SEOs)) as well as injections of government capital under the Troubled Asset Relief Program (TARP). The sample period covers both business cycle expansions and contractions, and the recent financial crisis. We present evidence on the factors affecting FIs? decisions to raise capital, the determinants of investor reactions, and post-infusion risk-taking of the recipients, as well as a ...
Working Papers , Paper 13-23

Conference Paper
Technology, information production, and market efficiency : commentary

Proceedings - Economic Policy Symposium - Jackson Hole

Journal Article
TALF: Jump-starting the securitization markets

In the financial crisis that began in August 2007, securitization activity virtually dried up. When the housing bubble burst, the value of the collateral backing much of the asset-backed securities (ABS) declined sharply, and so did the value of the securities themselves. The Federal Reserve responded by creating the term asset-backed securities loan facility, or TALF. Its purpose is to boost securitization by providing loans to people holding certain highly rated ABS. These loans will then support new ABS issues and help thaw out the securitization markets. Judging from both new issues and ...
Economic Letter , Volume 4

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