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A Dynamic Theory of Collateral Quality and Long-Term Interventions
Lee, Michael - 2019
liquidity over incentives. Optimal interventions with commitment call for large, long-term subsidies in excess of what is … required to restore liquidity …
Persistent link: https://www.econbiz.de/10012865106
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Monetary Cycles, Financial Cycles and the Business Cycle
Adrian, Tobias - 2010
One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper,...
Persistent link: https://www.econbiz.de/10013149410
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The Central-Bank Balance Sheet as an Instrument of Monetary Policy
Cúrdia, Vasco - 2010
While many analyses of monetary policy consider only a target for a short-term nominal interest rate, other dimensions of policy have recently been of greater importance: changes in the supply of bank reserves, changes in the assets acquired by central banks, and changes in the interest rate...
Persistent link: https://www.econbiz.de/10013139787
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Segregated Balance Accounts
Garratt, Rodney - 2015
This paper describes segregated balance accounts (SBAs), a concept for a new type of account that could provide increased competition for deposits, reduce system-wide balance sheet costs, and improve the transmission of monetary policy by facilitating greater pass-through of interest on excess...
Persistent link: https://www.econbiz.de/10013021988
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Stock Market Participation, Inequality, and Monetary Policy
Melcangi, Davide - 2020
What role does stock investment play in the transmission of monetary policy to the real economy? We study this question using a New Keynesian model with heterogeneous households. Following a monetary tightening, stock market participants rebalance their investments away from stocks, in line with...
Persistent link: https://www.econbiz.de/10012829368
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Asset Pricing with Cohort-Based Trading in MBS Markets
Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021
Agency MBSs with diverse characteristics are traded in parallel through individualized specified pool (SP) contracts and standardized to-be-announced (TBA) contracts. This parallel trading environment generates distinctive effects on MBS pricing and trading: (1) Although cheapest-to-deliver...
Persistent link: https://www.econbiz.de/10013216723
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The Federal Reserve’s Commercial Paper Funding Facility
Adrian, Tobias - 2010
unsecured and asset-backed commercial paper from eligible issuers via primary dealers. The CPFF was a liquidity backstop to U … provide liquidity to the financial system. This paper documents aspects of the financial crisis relevant to the creation of …
Persistent link: https://www.econbiz.de/10013149403
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Defragmenting Markets : Evidence from Agency MBS
Liu, Haoyang; Song, Zhaogang; Vickery, James I. - 2021
forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in … liquidity and prices of Freddie Mac MBS without measurably reducing liquidity for Fannie Mae; this was in part achieved by … consolidation event, in anticipation of future liquidity. Consolidation increased Freddie Mac’s fee income by enabling it to remove …
Persistent link: https://www.econbiz.de/10013230229
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Payment Changes and Default Risk : The Impact of Refinancing on Expected Credit Losses
Tracy, Joseph S. - 2012
This paper analyzes the relationship between changes in borrowers' monthly mortgage payments and future credit performance. This relationship is important for the design of an internal refinance program such as the Home Affordable Refinance Program (HARP). We use a competing risk model to...
Persistent link: https://www.econbiz.de/10013105432
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COVID Response : The Municipal Liquidity Facility
Haughwout, Andrew; Hyman, Benjamin; Shachar, Or - 2021
responsibilities. In April 2020, the Federal Reserve announced the establishment of the Municipal Liquidity Facility (MLF) to help …
Persistent link: https://www.econbiz.de/10013211407