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Li, Dan; Schurhoff, Norman - Federal Reserve Board (Board of Governors of the … - 2014

, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …

Persistent link: https://www.econbiz.de/10011095300

Returns to Active Management: The Case of Hedge Funds

Kazemi, Maziar; Islamaj, Ergys - Federal Reserve Board (Board of Governors of the … - 2014

Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to...

Persistent link: https://www.econbiz.de/10010892321

The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors

D'Amico, Stefania; Fan, Roger; Kitsul, Yuriy - Federal Reserve Board (Board of Governors of the … - 2014

In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....

Persistent link: https://www.econbiz.de/10010892306

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

How Public Information Affects Asymmetrically Informed Lenders: Evidence from a Credit Registry Reform

Choudhary, M. Ali; jain, Anil K. - Federal Reserve Board (Board of Governors of the … - 2014

We exploit exogenous variation in the amount of public information available to banks about a firm to empirically evaluate the importance of adverse selection in the credit market. A 2006 reform introduced by the State Bank of Pakistan (SBP) reduced the amount of public information available to...

Persistent link: https://www.econbiz.de/10011119890

Generating Options-Implied Probability Densities to Understand Oil Market Events

Datta, Deepa Dhume; Londono, Juan M.; Ross, Landon J - Federal Reserve Board (Board of Governors of the … - 2014

We investigate the informational content of options-implied probability density functions (PDFs) for the future price of oil. Using a semiparametric variant of the methodology in Breeden and Litzenberger (1978), we investigate the fit and smoothness of distributions derived from alternative PDF...

Persistent link: https://www.econbiz.de/10011075152

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

The Real Effects of Credit Line Drawdowns

Berrospide, Jose M.; Meisenzahl, Ralf R. - Federal Reserve Board (Board of Governors of the … - 2015

already increased in 2007, precisely when disruptions in bank funding markets began to squeeze aggregate liquidity. Consistent … with theory, our results confirm that firms use drawdowns to sustain investment after an idiosyncratic liquidity shock …. Low aggregate liquidity amplifies this effect significantly. During the financial crisis, the effect of drawdowns on …

Persistent link: https://www.econbiz.de/10011273700

Institutions and return predictability in oil-exporting countries

Aramonte, Sirio; Jahan-Parvar, Mohammad; Shugarman, Justin - Federal Reserve Board (Board of Governors of the … - 2015

We study whether stock market returns in oil-exporting countries can be predicted by oil price changes, and we investigate the link between predictability and the quality of each country's institutions. Returns are predictable for half the countries we consider, and predictability is stronger...

Persistent link: https://www.econbiz.de/10011255347

Downside Variance Risk Premium

Feunou, Bruno; Jahan-Parvar, Mohammad; Okou, Cedric - Federal Reserve Board (Board of Governors of the … - 2015

We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of...

Persistent link: https://www.econbiz.de/10011261280