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Assessing the quality of "Furfine-based" algorithms

Armantier, Olivier; Copeland, Adam - 2012

To conduct academic research on the federal funds (fed funds) market, historically one of the most important financial markets in the U.S., some empirical economists have used market level measures published by the Markets Group at the Federal Reserve Bank of New York (FRBNY). To obtain more...

Persistent link: https://www.econbiz.de/10009633432

What drives housing prices?

Kahn, James A. (contributor) - 2008

—both qualitatively and quantitatively—the large low-frequency changes in housing price trends. In particular, the model shows how housing … governs the relationship between productivity growth and home price appreciation. Combined with a realistic model of learning … about the productivity process, the model is able to capture the medium- and low-frequency fluctuations of both price and …

Persistent link: https://www.econbiz.de/10003781770

A decomposition of the sources of incomplete cross-border transmission

Hellerstein, Rebecca (contributor) - 2006

Persistent link: https://www.econbiz.de/10003315021

US wage and price dynamics : a limited information approach

Sbordone, Argia M. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003382990

Settlement delays in the money market

Bartolini, Leonardo (contributor); … - 2008

We track 38,000 money market trades from execution to delivery and return to provide a first empirical analysis of settlement delays in financial markets. In line with predictions from recent models showing that financial claims are settled strategically, we document a tendency by lenders to...

Persistent link: https://www.econbiz.de/10003781461

Monetary policy analysis with potentially misspecified models

Del Negro, Marco (contributor); … - 2008

Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment of estimated deviations from the cross-equation restrictions. This paper develops and explores...

Persistent link: https://www.econbiz.de/10003781475

Should there be intraday money markets?

Martin, Antoine (contributor); … - 2008

In this paper, we consider the case for an intraday market for reserves. We discuss the separate roles of intraday and overnight reserves and argue that an intraday market could be organized in the same way as the overnight market. We present arguments for and against a market for intraday...

Persistent link: https://www.econbiz.de/10003781652

Defining and detecting predatory lending

Morgan, Donald P. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003437238

Bank capital and value in the cross section

Mehran, Hamid; Thakor, Anjan V. - 2009

We address two questions: (i) Are bank capital structure and value correlated in the cross section, and if so, how? (ii) If bank capital does affect bank value, how are the components of bank value affected by capital? We first develop a dynamic model with a dissipative cost of bank capital that...

Persistent link: https://www.econbiz.de/10003947552

Prices and quantities in the monetary policy transmission mechanism

Adrian, Tobias; Shin, Hyun Song - 2009 - Rev.

price (for example, the federal funds rate), the liquidity facilities affect balance-sheet quantities. The financial crisis …

Persistent link: https://www.econbiz.de/10003947718