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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, leading to a build-up of excess leverage in good times and a forced deleverage in bad times. Second, competition among central counterparties (CCPs) can result in lower margin...
Persistent link: https://www.econbiz.de/10011075125
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Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register
Irani, Rustom M.; Meisenzahl, Ralf R. - Federal Reserve Board (Board of Governors of the … - 2014
We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan … importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive …
Persistent link: https://www.econbiz.de/10011119862
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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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Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register
Irani, Rustom M.; Meisenzahl, Ralf R. - Federal Reserve Board (Board of Governors of the … - 2015
We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan … importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive …
Persistent link: https://www.econbiz.de/10011273699
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The Real Effects of Credit Line Drawdowns
Berrospide, Jose M.; Meisenzahl, Ralf R. - Federal Reserve Board (Board of Governors of the … - 2015
Do firms use credit line drawdowns to finance investment? Using a unique dataset of 467 COMPUSTAT firms with credit lines, we study the purpose of drawdowns during the 2007-2009 financial crisis. Our data show that credit line drawdowns had already increased in 2007, precisely when disruptions...
Persistent link: https://www.econbiz.de/10011273700
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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
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Why Do We Need Both Liquidity Regulations and a Lender of Last Resort? A Perspective from Federal Reserve Lending during the 2007-09 U.S. Financial Crisis
Carlson, Mark A.; Duygan-Bump, Burcu; Nelson, William R. - Federal Reserve Board (Board of Governors of the … - 2015
During the 2007-09 financial crisis, there were severe reductions in the liquidity of financial markets, runs on the shadow banking system, and destabilizing defaults and near-defaults of major financial institutions. In response, the Federal Reserve, in its role as lender of last resort (LOLR),...
Persistent link: https://www.econbiz.de/10011255344
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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
mortgages that underlie the MBS no longer share in the prepayment risk of the securities, thereby increasing incentives to …
Persistent link: https://www.econbiz.de/10011273692
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Litigation risk, strategic disclosure and the underpricing of initial public offerings
Hanley, Kathleen Weiss; Hoberg, Gerard - Federal Reserve Board (Board of Governors of the … - 2011
underpricing and strategic disclosure as potential hedges against litigation risk. This tradeoff explains a significant fraction of …. Underwriters who fail to adequately hedge litigation risk experience economically large penalties including loss of market share. …
Persistent link: https://www.econbiz.de/10008872028
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Stock return predictability and variance risk premia: statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - Federal Reserve Board (Board of Governors of the … - 2011
Recent empirical evidence suggests that the variance risk premium, or the difference between risk-neutral and … similar to the pattern previously documented for the U.S. Defining a "global" variance risk premium, we uncover even stronger … compensation for world-wide variance risk to be the same across countries. Our findings are broadly consistent with the …
Persistent link: https://www.econbiz.de/10009366959