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Assessing Targeted Macroprudential Financial Regulation: The Case of the 2006 Commercial Real Estate Guidance for Banks
Bassett, William F.; Marsh, Blake - Federal Reserve Board (Board of Governors of the … - 2014
In the mid-2000s, federal bank regulatory agencies became alarmed by steadily increasing concentrations of commercial real estate (CRE) loans at many banks, particularly loans used to finance construction and land development (CLD). In January 2006, they issued guidance that required banks with...
Persistent link: https://www.econbiz.de/10010886224
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Bank Liquidity and Capital Regulation in General Equilibrium
Covas, Francisco; Driscoll, John C. - Federal Reserve Board (Board of Governors of the … - 2014
We develop a nonlinear dynamic general equilibrium model with a banking sector and use it to study the macroeconomic impact of introducing a minimum liquidity standard for banks on top of existing capital adequacy requirements. The model generates a distribution of bank sizes arising from...
Persistent link: https://www.econbiz.de/10011075119
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An agency problem in the MBS market and the solicited refinancing channel of large-scale asset purchases
Kandrac, John; Schlusche, Bernd - Federal Reserve Board (Board of Governors of the … - 2015
In this paper, we document that mortgage-backed securities (MBS) held by the Federal Reserve exhibit faster principal … mortgages that underlie the MBS no longer share in the prepayment risk of the securities, thereby increasing incentives to … the Federal Reserve's first MBS purchase program, demonstrating that this channel conveyed savings on monthly mortgage …
Persistent link: https://www.econbiz.de/10011273692
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Firm Entry and Employment Dynamics in the Great Recession
Siemer, Michael - Federal Reserve Board (Board of Governors of the … - 2014
The 2007-2009 recession is characterized by: a large drop in employment, an unprecedented decline in firm entry, and a slow recovery. Using confidential firm-level data, I show that financial constraints reduced employment growth in small relative to large firms by 4.8 to 10.5 percentage points....
Persistent link: https://www.econbiz.de/10010886223
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Unspanned macroeconomic factors in the yield curve
Coroneo, Laura; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10010886225
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The Low Frequency Effects of Macroeconomic News on Government Bond Yields
Altavilla, Carlo; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014
This study analyzes the reaction of the U.S. Treasury bond market to innovations in macroeconomic fundamentals. We identify these innovations with macroeconomic news, defined as differences between the actual releases and their market expectations. We show that macroeconomic news explain about...
Persistent link: https://www.econbiz.de/10010886226
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A Model of Endogenous Loan Quality and the Collapse of the Shadow Banking System
Ferrante, Francesco - Federal Reserve Board (Board of Governors of the … - 2015
I develop a macroeconomic model with a financial sector, in which banks can finance risky projects (loans) and can affect their quality by exerting a costly screening effort. Informational frictions regarding the observability of loan characteristics limit the amount of external funds that banks...
Persistent link: https://www.econbiz.de/10011268457
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Credit-Market Sentiment and the Business Cycle
Lopez-Salido, J. David; Stein, Jeremy C.; Zakrajsek, Egon - Federal Reserve Board (Board of Governors of the … - 2015
Using U.S. data from 1929 to 2013, we show that elevated credit-market sentiment in year t-2 is associated with a decline in economic activity in years t through t+2. Underlying this result is the existence of predictable mean reversion in credit-market conditions. That is, when our sentiment...
Persistent link: https://www.econbiz.de/10011273704
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Inflation Dynamics During the Financial Crisis
Gilchrist, Simon; Schoenle, Raphael; Sim, Jae W.; … - Federal Reserve Board (Board of Governors of the … - 2015
Firms with limited internal liquidity significantly increased prices in 2008, while their liquidity unconstrained counterparts slashed prices. Differences in the firms' price-setting behavior were concentrated in sectors likely characterized by customer markets. We develop a model, in which...
Persistent link: https://www.econbiz.de/10011255348
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014
Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not...
Persistent link: https://www.econbiz.de/10010787051