Similar Search Results

An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications

Abruzzo, Nicole; Park, Yang-Ho - Federal Reserve Board (Board of Governors of the … - 2014

Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality … following volatility spikes but does not immediately lower margins following volatility declines, implying that margin …

Persistent link: https://www.econbiz.de/10011075125

QE Auctions of Treasury Bonds

Song, Zhaogang; Zhu, Haoxiang - Federal Reserve Board (Board of Governors of the … - 2014

The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its … transaction prices and quantities of each traded bond in each auction, as well as dealers' identities. We find that: (1) In QE … toward more liquid bonds; (2) The auction costs are low on average: the Fed pays around 0.7 cents per $100 par value above …

Persistent link: https://www.econbiz.de/10010886228

Government Connections and Financial Constraints: Evidence from a Large Representative Sample of Chinese Firms

Cull, Robert; Li, Wei; Sun, Bo; Xu, Lixin Colin - Federal Reserve Board (Board of Governors of the … - 2015

We examine the role of firms' government connections, defined by government intervention in CEO appointment and the status of state ownership, in determining the severity of financial constraints faced by Chinese firms. We demonstrate that government connections are associated with substantially...

Persistent link: https://www.econbiz.de/10011269077

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

Jumps in Bond Yields at Known Times

Kim, Don H.; Wright, Jonathan H. - Federal Reserve Board (Board of Governors of the … - 2014

empirical fact that the term structure of interest rate volatility has a hump-shaped pattern on employment report days (but not …

Persistent link: https://www.econbiz.de/10011095294

Dealer Networks

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

Dealers in over-the-counter securities form networks to mitigate search frictions. The audit trail for municipal bonds shows the dealer network has a core-periphery structure. Central dealers are more efficient at matching buyers and sellers than peripheral dealers, which shortens intermediation...

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

In Search of a Risk-free Asset

Yankov, Vladimir - Federal Reserve Board (Board of Governors of the … - 2014

To attract retail time deposits, over 7,000 FDIC insured U.S. commercial banks publicly post their yield offers. I document an economically sizable and highly pro-cyclical cross-sectional dispersion in these yield offers during the period 1997 - 2011. Banks adjusted their yields rigidly and...

Persistent link: https://www.econbiz.de/10011115663

Modeling Money Market Spreads: What Do We Learn about Refinancing Risk?

Brousseau, Vincent; Nikolaou, Kleopatra; Pill, Huw - Federal Reserve Board (Board of Governors of the … - 2014

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the financing crisis. With the advent of the crisis, market participants' perception of their ability to refinance over a given period of time changed radically. As a result,...

Persistent link: https://www.econbiz.de/10011119859

Learning, Rare Disasters, and Asset Prices

Lu, Yang; Siemer, Michael - Federal Reserve Board (Board of Governors of the … - 2013

of disaster realization. The model accounts for the level and volatility of U.S. equity returns and generates …

Persistent link: https://www.econbiz.de/10010728883

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