Narrow search
Showing 1 - 10 of 264
Cover Image
Subjective intertemporal substitution
Crump, Richard K.; Eusepi, Stefano; Tambalotti, Andrea; … - 2015
We estimate the elasticity of intertemporal substitution (EIS) - the elasticity of expected consumption growth with respect to variation in the real interest rate - using subjective expectations from the newly released FRBNY Survey of Consumer Expectations (SCE). This dataset is unique, since it...
Persistent link: https://www.econbiz.de/10011340989
Cover Image
Central bank transparency and nonlinear learning dynamics
Eusepi, Stefano - 2008
Central bank communication plays an important role in shaping market participants' expectations. This paper studies a simple nonlinear model of monetary policy in which agents have incomplete information about the economic environment. It shows that agents' learning and the dynamics of the...
Persistent link: https://www.econbiz.de/10010283511
Cover Image
Run equilibria in a model of financial intermediation
Ennis, Huberto M.; Keister, Todd - 2008
We study the Green and Lin (2003) model of financial intermediation with two new features: traders may face a cost of contacting the intermediary, and consumption needs may be correlated across traders. We show that each feature is capable of generating an equilibrium in which some (but not all)...
Persistent link: https://www.econbiz.de/10010283527
Cover Image
Auto credit and the 2005 Bankruptcy Reform: The impact of eliminating cramdowns
Chakrabarti, Rajashri; Pattison, Nathaniel - 2016
Auto lenders were perhaps the biggest winners of the 2005 Bankruptcy Reform. Cars depreciate quickly, so borrowers often owe more than their car is worth. Prior to the Reform, these borrowers could reduce the principal on their auto loan to the market value of the car through a "cramdown" in...
Persistent link: https://www.econbiz.de/10011796440
Cover Image
Trends in household debt and credit
Haughwout, Andrew; Lee, Donghoon; Scally, Joelle; … - 2019
the Great Recession, there was a historic run-up in household debt, driven primarily by housing debt, which coincided with …. We examine the trends in household debt before, during, and since the 2000s financial crisis and Great Recession. As we … household debt has recovered to its previous level in nominal terms, its composition and characteristics have changed …
Persistent link: https://www.econbiz.de/10012144725
Cover Image
Overnight RRP operations as a monetary policy tool: Some design considerations
Frost, Joshua; Logan, Lorie; Martin, Antoine; McCabe, … - 2015
We review recent changes in monetary policy that have led to development and testing of an overnight reverse repurchase agreement (ON RRP) facility, an innovative tool for implementing monetary policy during the normalization process. Making ON RRPs available to a broad set of investors,...
Persistent link: https://www.econbiz.de/10011341005
Cover Image
A leverage-based measure of financial instability
Tepper, Alexander; Borowiecki, Karol Jan - 2014
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market instability. Specifically, we derive a quantitative condition for how large levered investors can become relative to the whole market before the demand curve for securities...
Persistent link: https://www.econbiz.de/10011341018
Cover Image
Interbank market and central bank policy
Ahn, Jung-Hyun; Bignon, Vincent; Breton, Régis; … - 2016
We develop a model in which financial intermediaries hold liquidity to protect themselves from shocks. Depending on parameter values, banks may choose to hold too much or too little liquidity on aggregate compared with the socially optimal amount. The model endogenously generates a situation of...
Persistent link: https://www.econbiz.de/10011460628
Cover Image
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
Cover Image
Liquidity-saving mechanisms
Martin, Antoine; McAndrews, James - 2007
We study the incentives of participants in a real-time gross settlement system with and without the addition of a liquidity-saving mechanism (queue). Participants in our model face a liquidity shock and different costs for delaying payments. They trade off the cost of delaying a payment against...
Persistent link: https://www.econbiz.de/10010283301