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Working Paper
Changes in REIT Liquidity 1990-94: Evidence from Intra-day Transactions
Bhasin, Vijay; Cole, Rebel A.; Kiely, Joseph K.
In this study, we use data on intra-day transactions to analyze whether REIT liquidity as measured by the bid-ask spread changed from 1990 to 1994, a period during which the industry s market capitalization increased from $9 billion to $45 billion. We find that REIT spreads narrowed significantly. We then use a variation of the empirical model proposed by Stoll (1978) to analyze the determinants of percentage spreads including whether spreads are determined by return variability, share price, exchange listing, and asset type. We find strong support for Stoll s model, in that return variance ...
Finance and Economics Discussion Series , Paper 1996-22

Discussion Paper
Ring-Fencing and \\"Financial Protectionism\\" in International Banking
Goldberg, Linda S.; Gupta, Arun (2013-01-09)
Some market watchers and academic researchers are concerned about a ?Balkanization? of banking, owing to a sharp decline in cross-border international banking activity (see chart below), and an increased home bias of financial transactions. Meanwhile, policy and regulatory efforts are under consideration that may further induce banks to shift away from international activity, including ring-fencing of domestic banking operations, other forms of "financial protectionism," and enhanced oversight and prudential measures.
Liberty Street Economics , Paper 20130109

Discussion Paper
Redemption Risk of Bond Mutual Funds and Dealer Positioning
Adrian, Tobias; Shachar, Or; Vogt, Erik; Fleming, Michael J. (2015-10-08)
Market participants have recently voiced concerns that bond markets seem to become illiquid precisely when they want to sell bonds. Some possible reasons for a decline in corporate bond market liquidity in times of stress include the increasing share of corporate bond ownership by mutual funds and the reduced share of corporate bond ownership by dealers. In this post, we examine the potential effects of outflows from bond mutual funds and the role of dealers? positioning in corporate bonds.
Liberty Street Economics , Paper 20151008

Report
Bitcoin as money?
Lo, Stephanie; Wang, J. Christina (2014-09-04)
The spectacular rise late last year in the price of Bitcoin, the dominant virtual currency, has attracted much public attention as well as scholarly interest. This policy brief discusses how some features of Bitcoin, as designed and executed to date, have hampered its ability to perform the functions required of a fiat money??as a medium of exchange, unit of account, and store of value. Furthermore, we document how various forms of intermediaries have emerged and evolved within the Bitcoin network, particularly noting the convergence toward concentrated processing, both on and off the ...
Current Policy Perspectives , Paper 14-4

Report
Credit supply disruptions: from credit crunches to financial crisis
Peek, Joe; Rosengren, Eric S. (2015-10-01)
Events that transpired during the recent financial crisis highlight the important role that financial intermediaries still play in the economy, especially during economic downturns. While the breadth and severity of the financial crisis took most observers by surprise, it has renewed academic interest in understanding the effects on the real economy of both financial shocks and the changing nature of financial intermediation. This interest in the real effects of financial shocks highlights a literature that began more than 20 years ago associated with the bank credit crunch of the early ...
Current Policy Perspectives , Paper 15-5

Speech
Panel Remarks: Supervisory and Regulatory Action to Support the Economy and Protect Consumers
Stiroh, Kevin J. (2020-04-23)
Panel Remarks at The Fed and Main Street during the Coronavirus Pandemic, WebEx event, April 23, 2020.
Speech

Speech
Panel Remarks: The Fed and Main Street during the Coronavirus Pandemic
Kovner, Anna (2020-04-23)
Panel Remarks at The Fed and Main Street during the Coronavirus Pandemic, WebEx event, April 23, 2020.
Speech

Report
Market liquidity after the financial crisis
Shachar, Or; Fleming, Michael J.; Vogt, Erik; Adrian, Tobias (2016-10-19)
This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have reduced dealers? ability and willingness to make markets. We begin with a discussion of the broader trading environment, including an overview of regulations and their potential effects on dealer balance sheets and market making, but also considering additional drivers of market liquidity. We document a stagnation of dealer balance sheets after the financial crisis of 2007-09, which occurred concurrently with dealer balance sheet deleveraging. However, using high-frequency trade ...
Staff Reports , Paper 796

Report
Safety, liquidity, and the natural rate of interest
Del Negro, Marco; Giannone, Domenico; Giannoni, Marc; Tambalotti, Andrea (2017-05-11)
Why are interest rates so low in the Unites States? We find that they are low primarily because the premium for safety and liquidity has increased since the late 1990s, and to a lesser extent because economic growth has slowed. We reach this conclusion using two complementary perspectives: a flexible time-series model of trends in Treasury and corporate yields, inflation, and long-term survey expectations, and a medium-scale dynamic stochastic general equilibrium (DSGE) model. We discuss the implications of this finding for the natural rate of interest.
Staff Reports , Paper 812

Report
Stressed, not frozen: the Federal Funds market in the financial crisis
Schoar, Antoinette; Kovner, Anna; Afonso, Gara M. (2010-03-01)
We examine the importance of liquidity hoarding and counterparty risk in the U.S. overnight interbank market during the financial crisis of 2008. Our findings suggest that counterparty risk plays a larger role than does liquidity hoarding: the day after Lehman Brothers? bankruptcy, loan terms become more sensitive to borrower characteristics. In particular, poorly performing large banks see an increase in spreads of 25 basis points, but are borrowing 1 percent less, on average. Worse performing banks do not hoard liquidity. While the interbank market does not freeze entirely, it does not seem ...
Staff Reports , Paper 437

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