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Broda, Christian M. (contributor); … - 2003 - [Elektronische Ressource]

level. The distortion arises because dollar deposits are the only source of default risk in the model, but dollar depositors …

Persistent link: https://www.econbiz.de/10001751987

New directions for understanding systemic risk : a report on a conference cosponsored by the Federal Reserve Bank of New York and the National Academy of Sciences May 18 - 19, 2006

Kambhu, John (contributor) - 2007

Persistent link: https://www.econbiz.de/10003673206

Trading risk and volatility in interest rate swap spreads

Kambhu, John (contributor) - 2004 - [Elektronische Ressource]

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

Persistent link: https://www.econbiz.de/10001936329

Modeling uncertainty : predictive accuracy as a proxy for predictive confidence

Rich, Robert W. (contributor); Tracy, Joseph S. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001751995

Evaluating the riskiness of initial public offerings: 1980 - 2000

Peristiani, Stavros C. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752009

Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?

Lettau, Martin (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001590071

Micro, macro, and strategic forces in international trade invoicing

Goldberg, Linda S.; Tille, Cédric - Federal Reserve Bank of New York - 2009

We extend a standard New Keynesian model both to incorporate heterogeneity in spending opportunities along with two sources of (potentially time-varying) credit spreads and to allow a role for the central bank's balance sheet in determining equilibrium. We use the model to investigate the...

Persistent link: https://www.econbiz.de/10008636146

The determinants of international flows of U.S. currency

Hellerstein, Rebecca; Ryan, William - Federal Reserve Bank of New York - 2009

This paper examines the determinants of cross-border flows of U.S. dollar banknotes, using a new panel data set of bilateral flows between the United States and 103 countries from 1990 to 2007. We show that a gravity model explains international flows of currency as well as it explains...

Persistent link: https://www.econbiz.de/10008636168

Capital constraints, counterparty risk, and deviations from covered interest rate parity

Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - Federal Reserve Bank of New York - 2009

) reduced CIP deviations at this time. Following the bankruptcy of Lehman Brothers, uncertainty about counterparty risk became a … capital and partly to heightened counterparty credit risk. Central bank interventions helped reduce the funding liquidity risk …

Persistent link: https://www.econbiz.de/10008636197

Vehicle currency use in international trade

Goldberg, Linda S.; Tille, Cedric - Federal Reserve Bank of New York - 2005

Although currency invoicing in international trade transactions is central to the transmission of monetary policy, the forces motivating the choice of currency have long been debated. We introduce a model wherein agents involved in international trade can invoice in the exporter's currency, the...

Persistent link: https://www.econbiz.de/10005726631