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A leverage-based measure of financial instability
Borowiecki, Karol Jan; Tepper, Alexander - Federal Reserve Bank of New York - 2014
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market instability. Specifically, we derive a quantitative condition for how large levered investors can become relative to the whole market before the demand curve for securities...
Persistent link: https://www.econbiz.de/10010890135
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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
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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
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Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson - Federal Reserve Bank of New York - 2014
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...
Persistent link: https://www.econbiz.de/10010751385
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Arbitrage-free models of stocks and bonds
Durham, J. Benson - Federal Reserve Bank of New York - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010735679
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Betting against beta (and gamma) using government bonds
Durham, J. Benson - Federal Reserve Bank of New York - 2015
pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous. …
Persistent link: https://www.econbiz.de/10011123661
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Momentum and the term structure of interest rates
Durham, J. Benson - Federal Reserve Bank of New York - 2013
examines trading rules based on price history along individual government-bond term structures—that is, with respect to …
Persistent link: https://www.econbiz.de/10011027211
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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]
We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991 … spreads, and lagged volume. During periods of financial crisis, stock and bond spreads and volume are more volatile and become …, 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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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 …-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …
Persistent link: https://www.econbiz.de/10001752003
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Does foreign ownership contribute to sounder banks in emerging markets? : the Latin American experience
Crystal, Jennifer S. (contributor);  … - 2001 - [Elektronische Ressource]. - Rev. May 29, 2001
Foreign bank entrants into emerging markets are usually thought to improve the condition and performance of acquired institutions, and more generally to enhance local financial stability. We use bank-specific data for a range of Latin American countries since the mid-1990s to address elements of...
Persistent link: https://www.econbiz.de/10001630856