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LIBOR : Origins, Economics, Crisis, Scandal, and Reform

Hou, David - 2014

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....

Persistent link: https://www.econbiz.de/10013055651

Risk-Neutral Systemic Risk Indicators

Malz, Allan - 2013

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of...

Persistent link: https://www.econbiz.de/10013084190

Credit Market Choice

Boyarchenko, Nina - 2018

Which markets do institutions use to change exposure to credit risk? Using a unique data set of transactions in corporate bonds and credit default swaps (CDS) by large financial institutions, we show that simultaneous transactions in both markets are rare, with an average institution having an...

Persistent link: https://www.econbiz.de/10012913336

Money Market Funds Intermediation, Bank Instability, and Contagion

Cipriani, Marco - 2013

In recent years, U.S. banks have increasingly relied on deposits from financial intermediaries, especially money market … funds (MMFs), which collect funds from large institutional investors and lend them to banks. In this paper, we show that … unstable than one in which investors interact directly with banks. A mechanism through which instability can arise in an MMF …

Persistent link: https://www.econbiz.de/10013087142

Gates, Fees, and Preemptive Runs

Cipriani, Marco - 2014

We build a model of a financial intermediary, in the tradition of Diamond and Dybvig (1983), and show that allowing the intermediary to impose redemption fees or gates in a crisis — a form of suspension of convertibility — can lead to preemptive runs. In our model, a fraction of investors...

Persistent link: https://www.econbiz.de/10013055648

COVID Response : The Money Market Mutual Fund Facility

Anadu, Kenechukwu; Cipriani, Marco; Craver, Ryan; La … - 2021

In this article, we discuss the run on prime money market funds (MMFs) that occurred in March 2020, at the onset of the COVID-19 pandemic, and describe the Money Market Mutual Fund Liquidity Facility (MMLF), which the Federal Reserve established in response to it. We show that the MMLF, like a...

Persistent link: https://www.econbiz.de/10013211413

The Netting Efficiencies of Marketwide Central Clearing

Fleming, Michael J.; Keane, Frank M. - 2021

Market disruptions in response to the COVID pandemic spurred calls for the consideration of marketwide central clearing of Treasury securities, which might better enable dealers to intermediate large customer trading flows. We assess the netting efficiencies of increased central clearing using...

Persistent link: https://www.econbiz.de/10013231729

Discussion of 'An Integrated Framework for Multiple Financial Regulations'

Adrian, Tobias - 2012

A 2012 paper by Goodhart, Kashyap, Tsomocos, and Vardoulakis (GKTV) proposes a dynamic general equilibrium framework that provides a conceptual — and to some extent quantitative — framework for the analysis of macroprudential policies. The distinguishing feature of GKTV's paper relative to...

Persistent link: https://www.econbiz.de/10013096805

Regulation and Risk Shuffling in Bank Securities Portfolios

Fuster, Andreas - 2018

characteristics. We find little clear evidence that banks respond by reducing the riskiness of their securities portfolios, although … there is some evidence of a greater use of derivatives to hedge securities exposures. Instead, banks respond by …

Persistent link: https://www.econbiz.de/10012916682

COVID Response : The Paycheck Protection Program Liquidity Facility

Volker, Desi - 2021

findings suggest that the PPPLF played an important role in expanding the supply of credit to smaller banks and nondepository …

Persistent link: https://www.econbiz.de/10013211414