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An empirical analysis of stock and bond market liquidity
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2003 - [Elektronische Ressource]
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 … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …
Persistent link: https://www.econbiz.de/10001752003
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Has monetary policy become less powerful?
Boivin, Jean (contributor); Giannoni, Marc Paolo (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001656395
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The advantage of flexible targeting rules
Ferrero, Andrea - Federal Reserve Bank of New York - 2008
This paper investigates the consequences of debt stabilization for inflation targeting. If the monetary authority perfectly stabilizes inflation while the fiscal authority holds constant the real value of debt at maturity, the equilibrium dynamics might be indeterminate. However, determinacy can...
Persistent link: https://www.econbiz.de/10005420654
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Central bank transparency and nonlinear learning dynamics
Eusepi, Stefano - Federal Reserve Bank of New York - 2008
Central bank communication plays an important role in shaping market participants' expectations. This paper studies a simple nonlinear model of monetary policy in which agents have incomplete information about the economic environment. It shows that agents' learning and the dynamics of the...
Persistent link: https://www.econbiz.de/10005420678
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Optimal monetary policy under sudden stops
Cúrdia, Vasco - Federal Reserve Bank of New York - 2008
Emerging market economies often face sudden stops in capital inflows or reduced access to the international capital market. This paper analyzes what monetary policy should accomplish in such an event. Optimal monetary policy induces higher interest rates and exchange rate depreciation. The...
Persistent link: https://www.econbiz.de/10005726591
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Estimating probabilities of default
Schuermann, Til (contributor); Hanson, Samuel G. (contributor) - 2004 - [Elektronische Ressource]
"We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods--cohort and duration...
Persistent link: https://www.econbiz.de/10002521762
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Are larger treasury issues more liquid? : Evidence from bill reopenings
Fleming, Michael J. (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001656398
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Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2001 - [Elektronische Ressource]
more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …
Persistent link: https://www.econbiz.de/10001629622
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One reason countries pay their debts : renegotiation and international trade
Rose, Andrew (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001629624
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Financial market implications of the Federal debt paydown
Fleming, Michael J. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001589547