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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014
controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …
Persistent link: https://www.econbiz.de/10010787051
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Liquidity Risk and U.S. Bank Lending at Home and Abroad
Correa, Ricardo; Goldberg, Linda; Rice, Tara - Federal Reserve Board (Board of Governors of the … - 2014
-sectional differences in response to liquidity risk depend on the banks' shares of core deposit funding. By contrast, differences across …While the balance sheet structure of U.S. banks influences how they respond to liquidity risks, the mechanisms for the … global banks (those with foreign affiliates) are associated with ex ante liquidity management strategies as reflected in …
Persistent link: https://www.econbiz.de/10010784196
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Estimating U.S. Cross-Border Securities Positions: New Data and New Methods
Bertaut, Carol C.; Judson, Ruth - Federal Reserve Board (Board of Governors of the … - 2014
The role of capital flows in the buildup to the global financial crisis and the potential vulnerabilities posed by capital flows to emerging market economies highlight the importance of reliable and timely measures of cross-border investment activity to better monitor developments as they...
Persistent link: https://www.econbiz.de/10010892322
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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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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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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
particular, shadow banks, by pooling different loans, improve on the diversification of their idiosyncratic risk and increase the …
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
credit-market conditions. That is, when our sentiment proxies indicate that credit risk is aggressively priced, this tends to …
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 …. These results reflect the firms' reaction to preserve internal liquidity and avoid accessing external finance, factors that …
Persistent link: https://www.econbiz.de/10011255348