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International portfolios, capital accumulation and foreign assets dynamics

Coeurdacier, Nicolas; Kollmann, Robert; Martin, Philippe - Federal Reserve Bank of Dallas - 2009

Despite the liberalization of capital flows among OECD countries, equity home bias remains sizable. We depart from the two familiar explanations of equity home bias: transaction costs that impede international diversification, and terms of trade responses to supply shocks that provide risk...

Persistent link: https://www.econbiz.de/10005367954

Do China and oil exporters influence major currency configurations?

Fratzscher, Marcel; Mehl, Arnaud - Federal Reserve Bank of Dallas - 2009

This paper analyses the impact of the shift away from a U.S. dollar focus of systemically important emerging market economies (EMEs) on configurations between the U.S. dollar, the euro and the yen. Given the difficulty that fixed or managed U.S. dollar exchange rate regimes remain pervasive and...

Persistent link: https://www.econbiz.de/10005367955

Why do financial systems differ? History matters

Monnet, Cyril; Quintin, Erwan - Federal Reserve Bank of Dallas - 2004

We describe a dynamic model of financial intermediation in which fundamental characteristics of the economy imply a unique equilibrium path of bank and financial market lending. Yet we also show that economies whose fundamental characteristics have converged may continue to have very different...

Persistent link: https://www.econbiz.de/10005368123

The role of total factor productivity in 'Phoenix Miracles' : insights from an emerging market crisis

Zarazaga, Carlos E. J. M. - Federal Reserve Bank of Dallas - 2007

Key macroeconomic variables such as GDP and investment typically display a V-shaped pattern during major emerging market crises. A notable exception to that pattern is intermediated credit, which follows an L-shaped trajectory instead: it declines at first in lockstep with economic activity, but...

Persistent link: https://www.econbiz.de/10005346059

On the effectiveness of the Federal Reserve's new liquidity facilities

Wu, Tao - Federal Reserve Bank of Dallas - 2008

This paper examines the effectiveness of the new liquidity facilities that the Federal Reserve established in response … financial institutions' liquidity concerns and reducing the counterparty risk premiums, and then quantifying their overall … financial institutions' liquidity concerns. Heightened uncertainty regarding the macroeconomy, financial markets, and mortgage …

Persistent link: https://www.econbiz.de/10005346125

Did the commercial paper funding facility prevent a Great Depression-style money market meltdown?

Duca, John V. - Federal Reserve Bank of Dallas - 2011

This paper analyzes how risk premia—and other factors affecting the comparative advantages of security-funded versus deposit-funded short-run debt—altered the relative use of debt funded by securities markets since the early-1960s and the relative use of commercial paper during the recent...

Persistent link: https://www.econbiz.de/10009292903

Optimal monetary policy under financial sector risk

Davis, Scott; Huang, Kevin X.D. - Federal Reserve Bank of Dallas - 2011

We consider whether or not a central bank should respond directly to financial market conditions when setting monetary policy. Specifically, should a central bank put weight on interbank lending spreads in its Taylor rule policy function? ; Using a model with risk and balance sheet effects in...

Persistent link: https://www.econbiz.de/10009292919

Do banking shocks matter for the U.S. economy?

Hirakata, Naohisa; Sudo, Nao; Ueda, Kozo - Federal Reserve Bank of Dallas - 2011

The quantitative significance of shocks to the financial intermediary (FI) has not received much attention up to now. We estimate a DSGE model with what we describe as chained credit contracts, using Bayesian technique. In the model, credit-constrained FIs intermediate funds from investors to...

Persistent link: https://www.econbiz.de/10009292923

Global asset pricing

Lewis, Karen K. - Federal Reserve Bank of Dallas - 2011

Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both...

Persistent link: https://www.econbiz.de/10009292924

Lessons for monetary policy: what should the consensus be?

Issing, Otmar - Federal Reserve Bank of Dallas - 2011

This paper outlines important lessons for monetary policy. In particular, the role of inflation targeting, which was much acclaimed prior to the financial crisis and since then has not lost much of its endorsement, is critically reviewed. Ignoring the relation between monetary policy and asset...

Persistent link: https://www.econbiz.de/10009292926