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Dealer financial conditions and lender-of-last-resort facilities
Acharya, Viral V.; Fleming, Michael J.; Hrung, Warren B.; … - 2014
We examine the financial conditions of dealers that participated in two of the Federal Reserve's lender-of-last-resort (LOLR) facilities - the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF) - that provided liquidity against a range of assets during 2008-09....
Persistent link: https://www.econbiz.de/10011340952
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A primer on the GCF Repo Service
Agueci, Paul; Alkan, Leyla; Copeland, Adam; Davis, Isaac; … - 2014
This primer provides a detailed description of the GCF Repo ® Service, a financial service provided by the Fixed Income Clearing Corporation. The primer is composed of an introductory note and two separate papers. The first paper focuses on the clearance and settlement of GCF Repo. These...
Persistent link: https://www.econbiz.de/10011341014
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Financial stability monitoring
Adrian, Tobias; Covitz, Daniel; Liang, Nellie - 2013
While the Dodd-Frank Act (DFA) broadens the regulatory reach to reduce systemic risks to the U.S. financial system, it does not address some important risks that could migrate to or emanate from entities outside the federal safety net. At the same time, it limits the types of interventions by...
Persistent link: https://www.econbiz.de/10010333580
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Interbank market and central bank policy
Ahn, Jung-Hyun; Bignon, Vincent; Breton, Régis; … - 2016
the new Basel III regulation. In our model, banks hold tradable and nontradable assets. Nontradable assets are subject to …
Persistent link: https://www.econbiz.de/10011460628
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The effect of monetary policy on bank wholesale funding
Choi, Dong Beom; Choi, Hyun-Soo - 2016
We study how monetary policy affects the funding composition of the banking sector. When monetary tightening reduces the retail deposit supply owing to, for example, a decrease in bank reserves or in money demand, banks try to substitute the deposit outflows with more wholesale funding in order...
Persistent link: https://www.econbiz.de/10011460643
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The mechanics of a graceful exit: Interest on reserves and segmentation in the federal funds market
Bech, Morten L.; Klee, Elizabeth - 2009
To combat the financial crisis that intensified in the fall of 2008, the Federal Reserve injected a substantial amount of liquidity into the banking system. The resulting increase in reserve balances exerted downward price pressure in the federal funds market, and the effective federal funds...
Persistent link: https://www.econbiz.de/10010287022
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Bank capital regulation and structured finance
Martin, Antoine; Parigi, Bruno M. - 2011
We construct a model in which bank capital regulation and financial innovation interact. Innovation takes the form of … different capital charges, a process that captures some stylized features of structured finance. Regulation is motivated by the … divergence of private and social interests in future profits. Capital regulation lowers bank profits and may induce banks to …
Persistent link: https://www.econbiz.de/10010287076
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Efficient, regression-based estimation of dynamic asset pricing models
Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - 2011
We study regression-based estimators for beta representations of dynamic asset pricing models with affine and exponentially affine pricing kernel specifications. These estimators extend static cross-sectional asset pricing estimators to settings where prices of risk vary with observed state...
Persistent link: https://www.econbiz.de/10010287173
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Investors' appetite for money-like assets: The money market fund industry after the 2014 regulatory reform
Cipriani, Marco; La Spada, Gabriele; Mulder, Philip - 2017
We document the reaction of money market fund (MMF) investors and portfolio managers to a new SEC regulation that came … into effect in October 2016. This regulation forces all prime and municipal MMFs to adopt a system of redemption gates and … by the new regulation, as opposed to traditional flight-to-safety motives. Third, the outflow from prime and muni MMFs …
Persistent link: https://www.econbiz.de/10011942761
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Market liquidity after the financial crisis
Adrian, Tobias; Fleming, Michael; Vogt, Erik - 2016
This paper examines market liquidity in the post-crisis era, in light of concerns that regulatory changes might have reduced banks' ability and willingness to make markets. We begin with a discussion of the broader trading environment, including a discussion of regulations and their potential...
Persistent link: https://www.econbiz.de/10011796439