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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

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
Central Banking in Times of Crisis
Evans, Charles L. (2009-03-24)
Remarks by Charles L. Evans, President and Chief Executive Officer,Federal Reserve Bank of Chicago Czech National Bank Prague, Czech Republic
Speech , Paper 28

Working Paper
Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets
Mattesini, Fabrizio; Nosal, Ed (2011-11-13)
Entrepreneurs need cash to finance their real investments. Since cash is costly to hold, entrepreneurs will underinvest. If entrepreneurs can access financial markets prior to learning about an investment opportunity, they can sell some of their less liquid assets for cash and, as a result, invest at a higher level. When financial markets are over-the-counter, the price that the entrepreneur receives for the assets that he sells depends on the amount of liquidity (cash) that is in the OTC market: Greater levels of liquidity lead to higher asset prices. Since asset prices are linked to ...
Working Paper Series , Paper WP-2013-24

Working Paper
What Drives Bank Funding Spreads?
Lewis, Kurt F.; King, Thomas B. (2014-11-13)
We use matched, bank-level panel data on Libor submissions and credit default swaps to decompose bank-funding spreads at several maturities into components reflecting counterparty credit risk and funding-market liquidity. To account for the possibility that banks may strategically misreport their funding rates in the Libor survey, we nest our decomposition within a model of the costs and benefits of lying. We find that Libor spreads typically consist mostly of a liquidity premium and that this premium declined at short maturities following Federal Reserve interventions in bank funding ...
Working Paper Series , Paper WP-2014-23

Journal Article
Central Clearing: Risks and Customer Protections
Ruffini, Ivana (2015-10)
In the wake of the 2008 global financial crisis, the Group of Twenty (G-20) developed a regulatory reform program for derivatives contracts. This article examines the impact of the market structure change and associated customer protection frameworks on risks faced by market participants.
Economic Perspectives , Issue Q IV , Pages 90-100

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

Working Paper
Financial Frictions, the Housing Market, and Unemployment
Rocheteau, Guillaume; Petrosky-Nadeau, Nicolas; Branch, William A. (2014-11)
We develop a two-sector search-matching model of the labor market with imperfect mobility of workers, augmented to incorporate a housing market and a frictional goods market. Homeowners use home equity as collateral to finance idiosyncratic consumption opportunities. A financial innovation that raises the acceptability of homes as collateral raises house prices and reduces unemployment. It also triggers a reallocation of workers, with the direction of the change depending on firms? market power in the goods market. A calibrated version of the model under adaptive learning can account for ...
Working Paper Series , Paper 2014-26

Working Paper
Liquidity Risk and U.S. Bank Lending at Home and Abroad
Correa, Ricardo; Goldberg, Linda S.; Rice, Tara (2014-05-29)
While the balance sheet structure of U.S. banks influences how they respond to liquidity risks, the mechanisms for the effects on and consequences for lending vary widely across banks. We demonstrate fundamental differences across banks without foreign affiliates versus those with foreign affiliates. Among the nonglobal banks (those without a foreign affiliate), cross-sectional differences in response to liquidity risk depend on the banks' shares of core deposit funding. By contrast, differences across global banks (those with foreign affiliates) are associated with ex ante liquidity ...
International Finance Discussion Papers , Paper 1105

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