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Discussion Paper
What Drives International Bank Credit?
Amiti, Mary; McGuire, Patrick M.; Weinstein, David E. (2017-09-06)
A major question facing policymakers is how to deal with slumps in bank credit. The policy prescriptions are very different depending on whether the decline is a result of global forces, domestic demand, or supply problems in a particular banking system. We present findings from new research that exactly decompose the growth in banks? aggregate foreign credit into these three factors. Using global banking data for the period 2000-16, we uncover some striking patterns in bilateral credit relationships between consolidated banking systems and borrowers in more than 200 countries. The most ...
Liberty Street Economics , Paper 20170906

Speech
The recovery and monetary policy
Dudley, William (2012)
Remarks at the National Association for Business Economics Annual Meeting, New York City.
Speech , Paper 89

Report
Supply- and demand-side factors in global banking
Amiti, Mary; McGuire, Patrick M.; Weinstein, David E. (2017-06-01)
What is the role of supply and demand forces in determining movements in international banking flows? Answering this question is crucial for understanding the international transmission of financial shocks and formulating policy. This paper addresses the question by using the method developed in Amiti and Weinstein (forthcoming) to exactly decompose the growth in international bank credit into common shocks, idiosyncratic supply shocks, and idiosyncratic demand shocks for the 2000-16 period. A striking feature of the global banking flows data can be characterized by what we term the ?Anna ...
Staff Reports , Paper 818

Discussion Paper
The role of banks in the transmission of monetary policy
Peek, Joe; Rosengren, Eric S. (2013)
The transmission of monetary policy, especially in light of recent events, has received increased attention, especially with respect to the efficacy of the bank lending channel. This paper summarizes the issues associated with isolating the bank lending channel and determining the extent to which it is operational. Evidence on the effectiveness of the bank lending channel is presented, both in the United States and abroad. The paper then provides observations about the likely consequences for the effectiveness of the lending channel of the changes in the financial environment associated with ...
Public Policy Discussion Paper , Paper 13-5

Discussion Paper
Why did so many people make so many ex post bad decisions?: the causes of the foreclosure crisis
Foote, Christopher L.; Gerardi, Kristopher S.; Willen, Paul S. (2012)
This paper presents 12 facts about the mortgage market. The authors argue that the facts refute the popular story that the crisis resulted from financial industry insiders deceiving uninformed mortgage borrowers and investors. Instead, they argue that borrowers and investors made decisions that were rational and logical given their ex post overly optimistic beliefs about house prices. The authors then show that neither institutional features of the mortgage market nor financial innovations are any more likely to explain those distorted beliefs than they are to explain the Dutch tulip bubble ...
Public Policy Discussion Paper , Paper 12-2

Working Paper
The stability of prime money market mutual funds: sponsor support from 2007 to 2011
Anadu, Ken; Brady, Steffanie; Cooper, Nathaniel R. (2012)
It is commonly noted that in the history of the Money Market Mutual Fund (MMMF) industry only two MMMFs have ?broken the buck,? or had the net asset value per share (NAV) at which they transact fall below $1. While this statement is true, it is useful to consider the role that non-contractual support has played in the maintenance of this strong track record. Such support, which has served to obscure the credit risk taken by these funds, has been a common occurrence over the history of MMMFs. This paper presents a detailed view of the non-contractual support provided to MMMFs by their sponsors ...
Supervisory Research and Analysis Working Papers , Paper RPA 12-3

Working Paper
Fair value accounting: villain or innocent victim?: exploring the links between fair value accounting, bank regulatory capital, and the recent financial crisis
Shaffer, Sanders (2010)
There is a popular belief that the confluence of bank capital rules and fair value accounting helped trigger the recent financial crisis. The claim is that questionable valuations of long term investments based on prices obtained from illiquid markets created a pro-cyclical effect whereby mark to market adjustments reduced regulatory capital forcing banks to sell off investments which further depressed prices. This ultimately led to bank instability and the credit effects that reached a peak late in 2008. This paper analyzes a sample of large banks to attempt to measure the strength of the ...
Supervisory Research and Analysis Working Papers , Paper QAU10-1

Working Paper
How effective were the Federal Reserve emergency liquidity facilities?: evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility
Parkinson, Patrick M.; Duygan-Bump, Burcu; Rosengren, Eric S.; Suarez, Gustavo A.; Willen, Paul S. (2010)
Following the failure of Lehman Brothers in September 2008, short-term credit markets were severely disrupted. In response, the Federal Reserve implemented new and unconventional facilities to help restore liquidity. Many existing analyses of these interventions are confounded by identification problems because they rely on aggregate data. Two unique micro datasets allow us to exploit both time series and cross-sectional variation to evaluate one of the most unusual of these facilities - the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF). The AMLF extended ...
Supervisory Research and Analysis Working Papers , Paper QAU10-3

Working Paper
Dollar illiquidity and central bank swap arrangements during the global financial crisis
Rose, Andrew K.; Spiegel, Mark M. (2011)
While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical studies of the success of these efforts have yielded mixed results, in part because their timing is likely to be endogenous. In this paper, we examine the cross-sectional impact of these interventions. Theory consistent with dollar appreciation in the crisis suggests that their impact should be greater ...
Working Paper Series , Paper 2011-18

Working Paper
China’s Financial Linkages with Asia and the Global Financial Crisis
Hutchison, Michael M.; Glick, Reuven (2013-05-24)
This paper presents empirical evidence on asset market linkages between China and Asia and how these linkages have shifted during and after the global financial crisis of 2008-2009. We find only weak cross-country linkages in longer-term interest rates, but much stronger linkages in equity markets. This finding is consistent with the greater development and liberalization of equity markets relative to bond markets in China, as well as increasing business and trade linkages in the region. We also find that the strength of the correlation of equity prices changes between China and other Asia ...
Working Paper Series , Paper 2013-12

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