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LIBOR: origins, economics, crisis, scandal, and reform

Skeie, David R.; Hou, David - Federal Reserve Bank of New York - 2014

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....

Persistent link: https://www.econbiz.de/10010757406

Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds

Adrian, Tobias; Crump, Richard K.; Vogt, Erik - Federal Reserve Bank of New York - 2015

-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …

Persistent link: https://www.econbiz.de/10011254934

Day-to-day monetary policy and the volatility of the federal funds interest rate

Bartolini, Leonardo (contributor); … - 2000 - [Elektronische Ressource]

high frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its … results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …

Persistent link: https://www.econbiz.de/10001512198

CDS and equity market reactions to stock issuances in the U.S. financial industry: evidence from the 2002-13 period

Mehran, Hamid; Wei, Chenyang; Cornette, Marcia Millon; … - Federal Reserve Bank of New York - 2014

We study market reactions to seasoned equity issuances that were announced by financial companies between 2002 and 2013. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using daily credit default swap (CDS) and stock market pricing...

Persistent link: https://www.econbiz.de/10010942922

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

Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences

Peach, Richard Wilson; Potter, Simon; Alessi, Luci; … - Federal Reserve Bank of New York - 2014

This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between the two institutions, allowing us to study the time-stamped...

Persistent link: https://www.econbiz.de/10010823098

The rescue of Fannie Mae and Freddie Mac

Frame, W Scott; Fuster, Andreas; Tracy, Joseph; … - Federal Reserve Bank of New York - 2015

We describe and evaluate the measures taken by the U.S. government to rescue Fannie Mae and Freddie Mac in September 2008. We begin by outlining the business model of these two firms and their role in the U.S. housing finance system. Our focus then turns to the sources of financial distress that...

Persistent link: https://www.econbiz.de/10011207943

Informational contagion in the laboratory

Cipriani, Marco; Guarino, Antonio; Guazzarotti, Giovanni; … - Federal Reserve Bank of New York - 2015

We study the informational channel of financial contagion in the laboratory. In our experiment, two markets with correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening second also observe the history of trades and prices...

Persistent link: https://www.econbiz.de/10011189148

Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

Persistent link: https://www.econbiz.de/10002101431

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 … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

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