Search Results
Showing results 1 to 10 of approximately 95.
(refine search)
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
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of New York 58 items
Board of Governors of the Federal Reserve System (U.S.) 10 items
Federal Reserve Bank of Chicago 6 items
Federal Reserve Bank of Boston 5 items
Federal Reserve Bank of Philadelphia 4 items
Federal Reserve Bank of St. Louis 4 items
Federal Reserve Bank of Atlanta 3 items
Federal Reserve Bank of Richmond 3 items
Federal Reserve Bank of Cleveland 1 items
Federal Reserve Bank of San Francisco 1 items
show more (5)
show less
FILTER BY Series
Staff Reports 26 items
Liberty Street Economics 23 items
Speech 11 items
Finance and Economics Discussion Series 9 items
Working Papers 6 items
FRB Atlanta Working Paper 3 items
Working Paper Series 3 items
Current Policy Perspectives 2 items
Page One Economics Newsletter 2 items
Working Paper 2 items
Chicago Fed Insights 1 items
Chicago Fed Letter 1 items
Economic Perspectives 1 items
Economic Policy Review 1 items
International Finance Discussion Papers 1 items
On the Economy 1 items
Richmond Fed Economic Brief 1 items
Working Papers (Old Series) 1 items
show more (13)
show less
FILTER BY Content Type
Report 28 items
Working Paper 25 items
Discussion Paper 23 items
Speech 11 items
Newsletter 3 items
Journal Article 2 items
Briefing 1 items
show more (2)
show less
FILTER BY Author
Fleming, Michael J. 13 items
Goldberg, Linda S. 12 items
Liu, Haoyang 5 items
Martin, Antoine 5 items
Song, Zhaogang 5 items
Tambalotti, Andrea 5 items
Adrian, Tobias 4 items
Cetorelli, Nicola 4 items
Correa, Ricardo 4 items
Del Negro, Marco 4 items
Eisenbach, Thomas M. 4 items
Giannone, Domenico 4 items
Giannoni, Marc 4 items
Logan, Lorie 4 items
McAndrews, James J. 4 items
Shachar, Or 4 items
Rice, Tara N. 3 items
Rosengren, Eric S. 3 items
Sarkar, Asani 3 items
Sultanum, Bruno 3 items
Vogt, Erik 3 items
Yorulmazer, Tanju 3 items
http://fedora:8080/fcrepo/rest/objects/authors/ 3 items
Afonso, Gara M. 2 items
Bethune, Zachary 2 items
Bok, Brandyn 2 items
Boyarchenko, Nina 2 items
Chen, Jiakai 2 items
Fecht, Falko 2 items
Gourio, Francois 2 items
Kovner, Anna 2 items
Lee, Michael Junho 2 items
Lester, Benjamin 2 items
Nguyen, Giang 2 items
Palida, Ali 2 items
Penciakova, Veronika 2 items
Rubio, David 2 items
Ruela, Francisco 2 items
Skeie, David R. 2 items
Trachter, Nicholas 2 items
Vickery, James 2 items
Abbassi, Puriya 1 items
Ajello, Andrea 1 items
Andolfatto, David 1 items
Avdjiev, Stefan 1 items
Baele, Lieven 1 items
Bekaert, Geert 1 items
Branch, William A. 1 items
Bräuning, Falk 1 items
Buch, Claudia M. 1 items
Choi, Jaewon 1 items
Choi, Mark 1 items
Cipriani, Marco 1 items
Craig, Ben R. 1 items
Crouzet, Nicolas 1 items
D'Amico, Stefania 1 items
Dinlersoz, Emin M. 1 items
Dunne, Peter G. 1 items
Dunne, Timothy 1 items
Dyskant, Lucas 1 items
Engle, Robert 1 items
Evans, Charles L. 1 items
Fan, Roger 1 items
Favara, Giovanni 1 items
Frame, W. Scott 1 items
Fryzlewicz, Piotr 1 items
Fusari, Nicola 1 items
Gambacorta, Leonardo 1 items
Garratt, Rod 1 items
Ghysels, Eric 1 items
Gissler, Stefan 1 items
Goldberg, Jonathan 1 items
Gomis-Porqueras, Pedro 1 items
Gourinchas, Pierre-Olivier 1 items
Gupta, Abhi 1 items
Gupta, Arun 1 items
Gustafson, Matthew 1 items
Haltiwanger, John 1 items
Huh, Yesol 1 items
Ihrig, Jane E. 1 items
Infante, Sebastian 1 items
Inghelbrecht, Koen 1 items
Ivanov, Ivan T. 1 items
Kalemli-Ozcan, Sebnem 1 items
Kargar, Mahyar 1 items
Keane, Frank M. 1 items
Keister, Todd 1 items
King, Thomas B. 1 items
Kitsul, Yuriy 1 items
Lerman, Robert 1 items
Lewis, Kurt F. 1 items
Lewis, Morgan 1 items
Lewis, Rebecca 1 items
Li, Dan 1 items
Li, Pearl 1 items
Li, Wei 1 items
Lindsay, David 1 items
Liu, Shuo 1 items
Lo, Stephanie 1 items
Mattesini, Fabrizio 1 items
McCabe, Patrick E. 1 items
McMorrow, Michael 1 items
Mendez-Carbajo, Diego 1 items
Mertens, Thomas M. 1 items
Natalucci, Fabio M. 1 items
Neely, Christopher J. 1 items
Neuhann, Daniel 1 items
Nosal, Ed 1 items
Paligorova, Teodora 1 items
Peek, Joe 1 items
Petrosky-Nadeau, Nicolas 1 items
Peydro, Jose Luis 1 items
Phelan, Gregory 1 items
Rajan, Raghuram G. 1 items
Ramcharan, Rodney 1 items
Ravazzolo, Fabiola 1 items
Rheinlander, Thorsten 1 items
Ritter, John 1 items
Rocheteau, Guillaume 1 items
Ruffini, Ivana 1 items
Sanches, Daniel R. 1 items
Sander, Nick 1 items
Santos, Joao A. C. 1 items
Schiaffi, Stefano 1 items
Schoar, Antoinette 1 items
Schularick, Moritz 1 items
Schurhoff, Norman 1 items
Shourideh, Ali 1 items
Silva, André F. 1 items
Stackman, Daniel 1 items
Stiroh, Kevin J. 1 items
Townsend, Robert M. 1 items
Tumer-Alkan, Gunseli 1 items
Valenzuela, Marcela 1 items
Venkateswaran, Venky 1 items
Wang, J. Christina 1 items
Wang, Zhenyu 1 items
Wei, Min 1 items
Weill, Pierre-Olivier 1 items
Weinbach, Gretchen C. 1 items
Williams, John C. 1 items
Wolla, Scott A. 1 items
Yu, Ning 1 items
Zer, Ilknur 1 items
Zetlin-Jones, Ariel 1 items
Zholos, Andrey 1 items
Zuniga, Diego 1 items
show more (142)
show less
FILTER BY Jel Classification
G21 20 items
G12 18 items
E44 11 items
G01 10 items
G1 10 items
E58 9 items
E5 8 items
G14 8 items
G18 8 items
G2 7 items
G28 7 items
E43 6 items
E52 5 items
D82 4 items
G23 4 items
G32 4 items
E2 3 items
E4 3 items
F36 3 items
D2 2 items
D40 2 items
D53 2 items
D62 2 items
E40 2 items
E42 2 items
E50 2 items
E51 2 items
E65 2 items
F34 2 items
G19 2 items
G1;G2 2 items
G20 2 items
G33 2 items
C11 1 items
C23 1 items
C32 1 items
C54 1 items
C58 1 items
D43 1 items
D44 1 items
D83 1 items
D85 1 items
E41 1 items
E53 1 items
F00 1 items
F00;G2 1 items
F30 1 items
F33 1 items
F42 1 items
G10 1 items
G11 1 items
G15 1 items
G24 1 items
H63 1 items
L14 1 items
show more (50)
show less
FILTER BY Keywords
liquidity 95 items
COVID-19 18 items
monetary policy 7 items
Federal Reserve 7 items
credit 6 items
financial crisis 5 items
transmission 5 items
Treasury 5 items
Treasury market 5 items
bank 4 items
convenience yield 4 items
markets 4 items
pandemic 4 items
repo 4 items
safety 4 items
corporate bonds 4 items
dealers 4 items
MBS 3 items
TBA 3 items
banks 3 items
financial stability 3 items
internal capital market 3 items
r star 3 items
regulation 3 items
small business 3 items
LIBOR 3 items
intermediation 3 items
international banking 3 items
CARES Act 2 items
Decentralized markets 2 items
PPP loans 2 items
Paycheck Protection Program Liquidity Facility 2 items
Single Security Initiative 2 items
Term Asset-Backed Securities Loan Facility (TALF) 2 items
Treasury securities 2 items
UMBS 2 items
asset 2 items
asset issuance 2 items
asset prices 2 items
bank run 2 items
bilateral trade 2 items
business failures 2 items
collateral 2 items
coronavirus 2 items
facilities 2 items
financial crises 2 items
fire sales 2 items
global 2 items
global bank 2 items
global banking 2 items
internal capital markets 2 items
international 2 items
lending 2 items
lending channel 2 items
leverage 2 items
market run 2 items
maturity 2 items
money 2 items
open market operations 2 items
over-the-counter 2 items
securities 2 items
shocks 2 items
solvency 2 items
uncertainty 2 items
volatility 2 items
wholesale funding 2 items
Adverse selection 2 items
Asset pricing 2 items
FOMC 2 items
Fed Funds 2 items
Federal Funds rate 2 items
Global banks 2 items
20-year bond 1 items
Asset pricing and bonds 1 items
Bank failures 1 items
CCyB 1 items
CDS-bond basis 1 items
Commercial Paper Funding Facility (CPFF) 1 items
Community Reinvestment Act 1 items
DSGE models 1 items
DTCC 1 items
Derivatives 1 items
Federal Open Market Committee (FOMC) 1 items
Federal Reserve lending facilities 1 items
Financial distress 1 items
Financial positions 1 items
Flight-to-safety 1 items
Funding models 1 items
High frequency trading 1 items
Interbank markets 1 items
Large Scale Asset Purchase programs 1 items
MMF 1 items
MMMF 1 items
Main Street Lending Program 1 items
Maturity structure 1 items
Money Market Liquidity Facility (MMLF) 1 items
Municipal Liquidity Facility 1 items
Municipal Liquidity Facility (MLF) 1 items
Municipal bonds 1 items
Official Sector Service Providers (OSSPs) 1 items
Order-driven markets 1 items
Over-the-Counter (OTC) 1 items
Primary Dealer Credit Facility (PDCF) 1 items
SMCCF 1 items
Secondary Market Corporate Credit Facility (SMCCF) 1 items
Settlement Fails 1 items
Term Auction Facility 1 items
The Desk 1 items
Treasury auctions 1 items
Treasury bonds 1 items
U.S. Treasury securities 1 items
US monetary policy 1 items
Volcker rule 1 items
administered rate 1 items
agency problem 1 items
ample reserves regime 1 items
announcement 1 items
announcements 1 items
arbitrage 1 items
asymmetric information 1 items
balance sheet 1 items
balance sheet costs 1 items
balance sheet policy 1 items
bank balance sheet 1 items
bank capital 1 items
bank complexity 1 items
bank holding companies (BHCs) 1 items
bank runs 1 items
bankruptcy 1 items
benchmark 1 items
bid-ask spreads 1 items
central bank digital currencies (CBDCs) 1 items
central bank liquidity 1 items
central banks 1 items
cohort 1 items
commitment 1 items
complexity 1 items
conditions 1 items
congestion 1 items
consumers 1 items
controls 1 items
corporate governance 1 items
countercyclical capital buffer 1 items
counterparties 1 items
credit availability 1 items
credit default swaps 1 items
credit lines 1 items
credit risk 1 items
credit risks 1 items
credit unions 1 items
crises 1 items
cross-border lending 1 items
dark pool 1 items
default 1 items
depression 1 items
diversification 1 items
dollar 1 items
dual mandate 1 items
economic history 1 items
economic outlook 1 items
emergency lending 1 items
employment 1 items
equilibrium 1 items
equity 1 items
euro area sovereign crisis 1 items
facility 1 items
federal open market committee 1 items
finance 1 items
financial 1 items
financial capital 1 items
financial conditions 1 items
financial innovations 1 items
financial integration 1 items
financial intermediaries 1 items
financial markets 1 items
financial regulation 1 items
fiscal policy 1 items
fixed income 1 items
fixed-income market 1 items
flexibility 1 items
flight-to-quality 1 items
forward guidance 1 items
functioning 1 items
funding 1 items
government intervention 1 items
government-sponsored enterprises 1 items
haircuts 1 items
hedge funds 1 items
heterogeneity 1 items
hoarding 1 items
home ownership 1 items
households 1 items
immediacy 1 items
inclusive economy 1 items
income 1 items
inflation 1 items
information asymmetry 1 items
information design 1 items
information share 1 items
inter-dealer markets 1 items
interbank lending 1 items
interest 1 items
interest on reserve balances 1 items
interest on reserve balances (IORB) rate 1 items
interest on reserve balances rate 1 items
interest rates 1 items
international banks 1 items
international capital flows 1 items
international transmission 1 items
iorb 1 items
learning 1 items
liability 1 items
limit order book 1 items
limit order book distribution 1 items
limited commitment 1 items
limits to arbitrage 1 items
loan modification 1 items
lower bound 1 items
macroprudential regulation 1 items
market 1 items
market making 1 items
market microstructure 1 items
medium of exchange 1 items
misreporting 1 items
monetary transmission 1 items
money market funds 1 items
money market mutual funds 1 items
money markets 1 items
money multiplier 1 items
mortgage 1 items
mortgage-backed securities (MBS) 1 items
mortgage-backed securities (MBS) market 1 items
mutual funds 1 items
natural rate of interest 1 items
network analysis 1 items
networks 1 items
open end funds 1 items
operations 1 items
organization 1 items
other financial institutions 1 items
over-the-counter financial market 1 items
overinvestment 1 items
overnight reverse repo (ON RRP) facility 1 items
overnight reverse repurchases 1 items
participants 1 items
payments 1 items
payments system 1 items
payouts 1 items
platforms 1 items
policy rate 1 items
policy trilemma 1 items
positions 1 items
preemptive 1 items
preemptive runs 1 items
prepayment 1 items
price impact 1 items
prime brokerage 1 items
product market cooperation 1 items
programs 1 items
purchases 1 items
r* 1 items
racial segregation 1 items
recovery 1 items
rediscounting 1 items
redlining 1 items
rehypothecation 1 items
reintroduction 1 items
relationship lending 1 items
repo contracts 1 items
reservation rate 1 items
reserve 1 items
reserve asset 1 items
reserve balances 1 items
reserve currency service providers 1 items
reserve management 1 items
reserve requirement 1 items
reserves 1 items
residential mortgages 1 items
ring fence 1 items
risk taking 1 items
risks 1 items
search 1 items
selloff 1 items
shadow banking 1 items
shadow banks 1 items
speculative bubble 1 items
spreads 1 items
standards 1 items
stock-bond return correlation 1 items
supervisory approach 1 items
supply-demand factors 1 items
swap line 1 items
swing pricing 1 items
term loans 1 items
too big to fail 1 items
trading cost 1 items
trading desk 1 items
trading frictions 1 items
transparency 1 items
treasury security 1 items
unemployment 1 items
volatility predictability 1 items
wealth 1 items
yield curve 1 items
show more (315)
show less