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Discussion of “Systemic Risk and the Solvency-Liquidity Nexus of Banks”
Adrian, Tobias - Federal Reserve Bank of New York - 2015
shock to the level of banks’ solvency risk is followed by lower short-term debt. Conversely, higher short-term debt Granger …-causes higher solvency risk. These results point toward a tight interaction between solvency and liquidity risk over time. My …
Persistent link: https://www.econbiz.de/10011241660
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Bank holding company dividends and repurchases during the financial crisis
Hirtle, Beverly - Federal Reserve Bank of New York - 2014
Many large U.S. bank holding companies (BHCs) continued to pay dividends during the recent financial crisis, even as financial market conditions deteriorated, large losses accumulated, and emergency capital and liquidity were being provided by the official sector. In contrast, share repurchases...
Persistent link: https://www.econbiz.de/10010757407
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No guarantees, no trade: how banks affect export patterns
Niepmann, Friederike - Federal Reserve Bank of New York - 2013
This study provides evidence that shocks to the supply of trade finance have a causal effect on U.S. exports. The identification strategy exploits variation in the importance of banks as providers of letters of credit across countries. The larger a U.S. bank’s share of the trade finance market...
Persistent link: https://www.econbiz.de/10010739556
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The sensitivity of housing demand to financing conditions: evidence from a survey
Fuster, Andreas; Zafar, Basit - Federal Reserve Bank of New York - 2014
The sensitivity of housing demand to mortgage rates and available leverage is key to understanding the effect of monetary and macroprudential policies on the housing market. However, since there is generally no exogenous variation in these variables that is independent of confounding factors...
Persistent link: https://www.econbiz.de/10011093791
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Overnight RRP operations as a monetary policy tool: some design considerations
Martin, Antoine; Remache, Julie Ann; Frost, Joshua; … - Federal Reserve Bank of New York - 2015
We review recent changes in monetary policy that have led to development and testing of an overnight reverse repurchase agreement (ON RRP) facility, an innovative tool for implementing monetary policy during the normalization process. Making ON RRPs available to a broad set of investors,...
Persistent link: https://www.econbiz.de/10011184286
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How mortgage finance affects the urban landscape
Haughwout, Andrew F.; Tracy, Joseph; Chan, Sewin - Federal Reserve Bank of New York - 2015
This chapter considers the structure of mortgage finance in the U.S., and its role in shaping patterns of homeownership, the nature of the housing stock, and the organization of residential activity. We start by providing some background on the design features of mortgage contracts that...
Persistent link: https://www.econbiz.de/10011185868
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Banks' incentives and the quality of internal risk models
Plosser, Matthew Charles; santos, joao - Federal Reserve Bank of New York - 2014
This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … estimate bank biases at the credit level by comparing bank-generated risk estimates within loan syndicates. The biases are … credits. In addition, we find that low-capital banks’ risk estimates have less explanatory power than those of high …
Persistent link: https://www.econbiz.de/10011103531
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The revolving door and worker flows in banking regulation
Lucca, David O.; Seru, Amit; Trebbi, Francesco - Federal Reserve Bank of New York - 2014
Drawing on a large sample of publicly available curricula vitae, this paper traces the career transitions of federal and state U.S. banking regulators and provides basic facts on worker flows between the regulatory and private sectors resulting from the revolving door. We find strong...
Persistent link: https://www.econbiz.de/10011027206
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The capital and loss assessment under stress scenarios (CLASS) model
Hirtle, Beverly; Kovner, Anna; Vickery, James; Bhanot, Meru - Federal Reserve Bank of New York - 2014
The CLASS model is a top-down capital stress testing framework that projects the effect of different macroeconomic scenarios on U.S. banking firms. The model is based on simple econometric models estimated using public data and also on assumptions about loan loss provisioning, taxes, asset...
Persistent link: https://www.econbiz.de/10011027235
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Gates, fees, and preemptive runs
Cipriani, Marco; McCabe, Patrick E.; Parigi, Bruno - Federal Reserve Bank of New York - 2014
We build a model of a financial intermediary, in the tradition of Diamond and Dybvig (1983), and show that allowing the intermediary to impose redemption fees or gates in a crisis—a form of suspension of convertibility—can lead to preemptive runs. In our model, a fraction of investors...
Persistent link: https://www.econbiz.de/10011027237