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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

The overnight interbank market: Evidence from the G-7 and the euro zone

Prati, Alessandro; Bartolini, Leonardo; Bertola, Giuseppe - 2001

This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find...

Persistent link: https://www.econbiz.de/10010283355

Repo market effects of the term securities lending facility

Fleming, Michael J.; Hrung, Warren B.; Keane, Frank M. - 2010

The Term Securities Lending Facility (TSLF) was introduced by the Federal Reserve to promote liquidity in the financing …

Persistent link: https://www.econbiz.de/10010283535

Large-scale asset purchases by the Federal Reserve: Did they work?

Gagnon, Joseph; Raskin, Matthew; Remache, Julie; Sack, Brian - 2010

Since December 2008, the Federal Reserve's traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...

Persistent link: https://www.econbiz.de/10010287156

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

Persistent link: https://www.econbiz.de/10010333621

ECB monetary operations and the interbank repo market

Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...

Persistent link: https://www.econbiz.de/10010333597

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

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

Common determinants of bond and stock market liquidity: The impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2001

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …

Persistent link: https://www.econbiz.de/10010283309

An empirical analysis of stock and bond market liquidity

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2003

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

Persistent link: https://www.econbiz.de/10010283415