Showing 1 - 10 of 27
This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and...
Persistent link: https://www.econbiz.de/10001752003
The Eurosystem and the U.S. Federal Reserve System follow quite different approaches to the execution of monetary policy. The former institution adopts a "hands-off" approach that largely delegates to depository institutions the task of stabilizing their own liquidity at high frequency. The...
Persistent link: https://www.econbiz.de/10001752004
Remarks at the Economic Club of New York, New York City.
Persistent link: https://www.econbiz.de/10010724951
Remarks at the IIF Annual Meeting of Latin America Chief Executives, Santiago, Chile.
Persistent link: https://www.econbiz.de/10010724988
Remarks at the Economic Club of New York, New York City.
Persistent link: https://www.econbiz.de/10010725047
We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a...
Persistent link: https://www.econbiz.de/10001629622
This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find...
Persistent link: https://www.econbiz.de/10001630855
We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each "reserve maintenance period", when the...
Persistent link: https://www.econbiz.de/10001512195
The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used...
Persistent link: https://www.econbiz.de/10001591424
Persistent link: https://www.econbiz.de/10001495358