We study the effect of different types of macroeconomic impulses on the nominal yield curve. We employ two distinct approaches to identifying economic shocks in VARs. Our first approach uses a structural VAR due to Galí (1992). Our second strategy identifies fundamental impulses from...

This article examines the growing dependence of global financial markets on time-critical liquidity in managing settlement risk and its implications for financial regulation.

This article examines the growing dependence of global financial markets on time-critical liquidity in managing settlement risk and its implications for financial regulation.

Financial market utilities ensure that clearing, settlement, and payments operations go smoothly. This article explores how these systems mitigate settlement risk, using precisely targeted “just-in-time” liquidity, and discusses the risks for financial stability implied by the increasing...

Measured aggregate U.S. consumption does not behave like a martingale. This paper develops and tests two variants of the permanent income model that are consistent with this fact. In both variants, we assume agents make decisions on a continuous time basis. According to the first variant, the...

The Federal Reserve currently conducts open market operations primarily in Treasury securities. It has not always done so. In its earliest years, the Fed conducted open market operations primarily in private securities, such as bankers' acceptances. The Fed's choice of instruments was based both...

We develop a model of commodity money and use it to analyze the following two questions motivated by issues in monetary history: What are the conditions under which Gresham's Law holds? And, what are the mechanics of a debasement (lowering the metallic content of coins)? The model contains light...

Auction rate securities are an example of a relatively obscure financial market instrument that has been caught up in the recent negative sentiment affecting the financial markets. This article examines these securities and sheds some light on recent events.