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China's evolving managed float: An exploration of the roles of the fix and broad dollar movements in explaining daily exchange rate changes

Clark, John - 2017

We investigate the drivers of daily changes in the exchange value of the Chinese currency (CNY) since early 2016, when a new regime was introduced for setting the fix - the midpoint of the CNY's daily trading range against the U.S. dollar. Daily changes in the fix, which is announced just prior...

Persistent link: https://www.econbiz.de/10011942773

Patterns of rainfall insurance participation in rural India

Giné, Xavier; Townsend, Robert; Vickery, James - 2007

This paper describes the contract design and institutional features of an innovative rainfall insurance policy offered to smallholder farmers in rural India and presents preliminary evidence on the determinants of insurance participation. Insurance take-up is found to be decreasing in basis risk...

Persistent link: https://www.econbiz.de/10010283430

LIBOR: Origins, economics, crisis, scandal, and reform

Hou, David; Skeie, 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/10011340948

A simple and reliable way to compute option-based risk-neutral distributions

Malz, Allan M. - 2014

This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile. Its aim is to reduce complexity and provide cookbook-style guidance through the estimation process. The technique is robust and avoids violations of option no-arbitrage...

Persistent link: https://www.econbiz.de/10011340971

A sampling-window approach to transactions-based libor fixing

Duffie, Darrell; Skeie, David; Vickery, James - 2013

We examine the properties of a method for fixing Libor rates that is based on transactions data and multi-day sampling windows. The use of a sampling window may mitigate problems caused by thin transaction volumes in unsecured wholesale term funding markets. Using two partial data sets of loan...

Persistent link: https://www.econbiz.de/10010333572

Risk-neutral systemic risk indicators

Malz, Allan M. - 2013

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities … the financial-sector portfolio return distribution. The indicators can be computed daily using only current market prices …

Persistent link: https://www.econbiz.de/10010333576

The risk of fire sales in the tri-party repo market

Begalle, Brian; Martin, Antoine; McAndrews, James; … - 2013

This paper studies the risk of fire sales in the tri-party repo market, a large and important market where securities dealers find short-term funding for a substantial portion of their own and their clients' assets. We distinguish between fire sales of assets by a dealer who, facing a run that...

Persistent link: https://www.econbiz.de/10010333589

Fire-sale spillovers and systemic risk

Duarte, Fernando; Eisenbach, Thomas M. - 2013

but shows a notable increase starting in 2004, ahead of many other systemic risk indicators. Although the largest banks …

Persistent link: https://www.econbiz.de/10010333593

Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities

Fleming, Michael; Nguyen, Giang - 2013

This paper studies the workup protocol, a unique trading feature in the U.S. Treasury securities market that resembles a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the dynamics of price and segmented order flow induced by the...

Persistent link: https://www.econbiz.de/10010333609

Securitization and the fixed-rate mortgage

Fuster, Andreas; Vickery, James - 2013

Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for household risk management, monetary policy, and systemic risk. In this paper, we show that securitization is a key driver of FRM supply. Our analysis compares the agency and nonagency...

Persistent link: https://www.econbiz.de/10010333652