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Newsletter
Symposium on OTC Derivatives—A Conference Summary
Lewis, Rebecca; Yu, Ning (2017)
The People?s Bank of China (PBOC) and the Federal Reserve Bank of Chicago sponsored the Symposium on OTC Derivatives in Shanghai on May 23, 2017, in conjunction with CCP12, a global association of major central counterparties (CCPs). The conference focused on current risk management and regulatory issues facing CCPs.
Chicago Fed Letter

Discussion Paper
Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed-Income Markets
Lewis, Morgan; Goldberg, Jonathan; Fleming, Michael J.; Adrian, Tobias; http://fedora:8080/fcrepo/rest/objects/authors/; Natalucci, Fabio M. (2013-10-16)
Long-term interest rates hit record-low levels in 2012 but have since increased substantially. As discussed in an earlier post, the sharpest increase occurred between May 2 and July 5 of this year, with the ten-year Treasury yield rising from 1.63 percent to 2.74 percent. During the May-July episode, market liquidity also deteriorated. Some market participants have suggested that constraints on dealer balance sheet capacity impaired liquidity during the selloff, amplifying the magnitude and speed of the rise in interest rates and volatility. In this post, we review the evolution of Treasury ...
Liberty Street Economics , Paper 20131016a

Discussion Paper
A Time-Series Perspective on Safety, Liquidity, and Low Interest Rates
Tambalotti, Andrea; Giannoni, Marc; Del Negro, Marco; Giannone, Domenico; Bok, Brandyn (2018-02-06)
The previous post in this series discussed several possible explanations for the trend decline in U.S. real interest rates since the late 1990s. We noted that while interest rates have generally come down over the past two decades, this decline has been more pronounced for Treasury securities. The conclusion that we draw from this evidence is that the convenience associated with the safety and liquidity embedded in Treasuries is an important driver of the secular (long-term) decline in Treasury yields. In this post and the next, we provide an overview of the two complementary empirical ...
Liberty Street Economics , Paper 20180206

Working Paper
Flights to Safety
Wei, Min; Inghelbrecht, Koen; Bekaert, Geert; Baele, Lieven (2014-06-05)
Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not global. FTS episodes coincide with increases in the VIX and the Ted spread, decreases in consumer sentiment indicators and appreciations of the Yen, Swiss franc, and US dollar. The financial, basic materials and industrial industries under-perform in FTS episodes, but the telecom industry outperforms. Money ...
Finance and Economics Discussion Series , Paper 2014-46

Working Paper
Financial Fire Sales: Evidence from Bank Failures
Ramcharan, Rodney; Rajan, Raghuram G. (2014-06-30)
Theory suggests the reduction in financing capacity after the failure of a financial intermediary can reduce the value of financial assets. Forced sales of the intermediary's assets could consume liquidity, depressing the liquidation value of the assets of healthy intermediaries and causing contagious runs. These financial fire sales can both cause, and exacerbate, real fire sales, the focus of previous studies. This paper investigates the relevance of financial fire sales using new datasets covering bank failures during the farm depression in the United States just before the Great ...
Finance and Economics Discussion Series , Paper 2014-67

Report
Federal Reserve tools for managing rates and reserves
Palida, Ali; McAndrews, James J.; Martin, Antoine; Skeie, David R. (2013-09-01)
The Federal Reserve announced in January 2019 that it would maintain an ample supply of reserves amid its balance sheet reduction. We model the impact of reserves on banks’ liquidity and balance sheet costs. In competitive general equilibrium, the optimal supply of reserves equates bank deposit rates to the interest rate paid on excess reserves (IOER), consistent with ample reserves. Raising the Fed’s overnight reverse repo rate up to IOER would increase liquidity, expediently reduce the overabundance of reserves, and stabilize the volatility of overnight market rates. Empirical analysis ...
Staff Reports , Paper 642

Working Paper
Maturity Structure and Liquidity Risk
Andolfatto, David (2020-04)
This paper studies the optimal maturity structure for government debt when markets for liquidity insurance are incomplete or non-competitive. There is no fiscal risk. Government debt in the model solves a dynamic inefficiency. Issuing debt in short and long maturities solves a liquidity insurance problem, but optimal yield curve policy is only possible if long-duration debt is rendered illiquid. Optimal policy is implementable through treasury operations only--adjustments in the primary deficit are not necessary.
Working Papers , Paper 2020-008

Speech
The Fed’s Emergency Facilities: Usage, Impact, and Early Lessons
http://fedora:8080/fcrepo/rest/objects/authors/ (2020-07-08)
Remarks at Hudson Valley Pattern for Progress (delivered via videoconference).
Speech

Discussion Paper
How Do Liquidity Conditions Affect U.S. Bank Lending?
Rice, Tara N.; Goldberg, Linda S.; Correa, Ricardo (2014-10-15)
The recent financial crisis underscored the importance of understanding how liquidity conditions for banks (or other financial institutions) influence the banks’ lending to domestic and foreign customers. Our recent research examines the domestic and international lending responses to liquidity risks across different types of large U.S. banks before, during, and after the global financial crisis. The analysis compares large global U.S. banks—that is, those that have offices in foreign countries and are able to move liquidity from affiliates across borders—with large domestic U.S. banks, ...
Liberty Street Economics , Paper 20141015

Speech
Recent Global Developments and Central Bank Responsibilities in a Changing Risk Landscape
http://fedora:8080/fcrepo/rest/objects/authors/ (2020-08-05)
Remarks at the Official Sector Service Providers (OSSP)-Bank Negara Malaysia (BNM)-South East Asian Central Banks (SEACEN) Research and Training Centre Forum on Central Bank Foreign Currency Operations.
Speech

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