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The shadow banking system: Implications for financial regulation

Adrian, Tobias; Shin, Hyun Song - 2009

the securitization of assets and the integration of banking with capital market developments. This trend has been most …. Securitization was intended as a way to transfer credit risk to those better able to absorb losses, but instead it increased the …'s securities. In the new, post-crisis financial system, the role of securitization will likely be held in check by more stringent …

Persistent link: https://www.econbiz.de/10010287181

Understanding the securitization of subprime mortgage credit

Ashcraft, Adam B.; Schuermann, Til - 2008

In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational … predatory borrowing and predatory lending. We present the key structural features of a typical subprime securitization, document …

Persistent link: https://www.econbiz.de/10010283528

What determines the composition of international bank flows?

Kerl, Cornelia; Niepmann, Friederike - 2014

Several recent studies document that the extent to which banks transmit shocks across borders depends on the type of foreign activities these banks engage in. This paper proposes a model to explain the composition of banks' foreign activities, distinguishing between international interbank...

Persistent link: https://www.econbiz.de/10011341016

A bargaining theory of trade invoicing and pricing

Goldberg, Linda; Tille, Cédric - 2013

We develop a theoretical model of international trade pricing in which individual exporters and importers bargain over the transaction price and exposure to exchange rate fluctuations. We find that the choice of price and invoicing currency reflects the full market structure, including the...

Persistent link: https://www.econbiz.de/10010333604

Estimating the impacts of US LSAP's on emerging market economies' local currency bond markets

Moore, Jeffrey; Nam, Sunwoo; Suh, Myeongguk; Tepper, … - 2013

This paper examines whether large-scale asset purchases (LSAPs) by the Federal Reserve influenced capital flows out of the United States and into emerging market economies (EMEs) and also analyzes the degree of pass-through from long-term U.S. government bond yields to long-term EME bond yields....

Persistent link: https://www.econbiz.de/10010333647

Risk appetite and exchange rates

Adrian, Tobias; Etula, Erkko; Shin, Hyun-Song - 2015

We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global...

Persistent link: https://www.econbiz.de/10011460651

Optimal monetary policy under sudden stops

Cúrdia, Vasco - 2008

Emerging market economies often face sudden stops in capital inflows or reduced access to the international capital market, a development that can cause serious disruptions in economic activity. This paper analyzes what monetary policy can accomplish in such an event. Optimal monetary policy...

Persistent link: https://www.econbiz.de/10010283497

Aggregation and the PPP puzzle in a sticky-price model

Carvalho, Carlos; Nechio, Fernanda - 2008

We study the purchasing power parity (PPP) puzzle in a multisector, two-country, sticky-price model. Firms' price stickiness differs across sectors, in accordance with recent microeconomic evidence on price setting in various countries. Combined with local currency pricing, these differences...

Persistent link: https://www.econbiz.de/10010283517

Global bond risk premiums

Hellerstein, Rebecca - 2011

This paper examines time-varying measures of term premiums across ten developed economies. It shows that a single factor accounts for most of the variation in expected excess returns over time, across the maturity spectrum, and across countries. I construct a global return forecasting factor...

Persistent link: https://www.econbiz.de/10010287084

Global liquidity and exchange rates

Adrian, Tobias; Etula, Erkko; Shin, Hyun Song - 2009

We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate growth-at weekly, monthly, and quarterly horizons, both in-sample and out-of-sample, and for a large set of currencies. We estimate prices of risk using a cross-sectional asset...

Persistent link: https://www.econbiz.de/10010287101