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Currency orders and exchange-rate dynamics: explaining the success of technical analysis

Osler, Carol L. - Federal Reserve Bank of New York - 2001

This paper provides a microstructural explanation for the success of two familiar predictions from technical analysis: 1) trends tend to be reversed at predictable support and resistance levels, and 2) trends gain momentum once predictable support and resistance levels are crossed. ; The...

Persistent link: https://www.econbiz.de/10005526266

The over-the-counter theory of the fed funds market: a primer

Afonso, Gara M.; Lagos, Ricardo - Federal Reserve Bank of New York - 2014

We present a dynamic over-the-counter model of the fed funds market, and use it to study the determination of the fed funds rate, the volume of loans traded, and the intraday evolution of the distribution of reserve balances across banks. We also investigate the implications of changes in the...

Persistent link: https://www.econbiz.de/10010751389

Liquidity management of U.S. global banks: internal capital markets in the Great Recession

Cetorelli, Nicola; Goldberg, Linda - Federal Reserve Bank of New York - 2011

The recent crisis highlighted the importance of globally active banks in linking markets. One channel for this linkage is the liquidity management of these banks, specifically the regular flow of funds between parent banks and their affiliates in diverse foreign markets. We use the Great...

Persistent link: https://www.econbiz.de/10009292978

The pre-FOMC announcement drift

Lucca, David O.; Moench, Emanuel - Federal Reserve Bank of New York - 2011

Since the Federal Open Market Committee (FOMC) began announcing its policy decisions in 1994, U.S. stock returns have on average been more than thirty times larger on announcement days than on other days. Surprisingly, these abnormal returns are accrued before the policy announcement. The excess...

Persistent link: https://www.econbiz.de/10009321122

The shadow banking system: implications for financial regulation

Adrian, Tobias; Shin, Hyun Song - Federal Reserve Bank of New York - 2009

the securitization of assets and the integration of banking with capital market developments. This trend has been most …

Persistent link: https://www.econbiz.de/10004967572

Global banks and international shock transmission: evidence from the crisis

Cetorelli, Nicola; Goldberg, Linda S. - Federal Reserve Bank of New York - 2010

Global banks played a significant role in transmitting the 2007-09 financial crisis to emerging-market economies. We examine adverse liquidity shocks on main developed-country banking systems and their relationships to emerging markets across Europe, Asia, and Latin America, isolating loan...

Persistent link: https://www.econbiz.de/10008498298

Does foreign ownership contribute to sounder banks in emerging markets? the Latin American experience

Crystal, Jennifer S.; Dages, B. Gerard; Goldberg, Linda S. - Federal Reserve Bank of New York - 2001

Foreign bank entrants into emerging markets are usually thought to improve the condition and performance of acquired institutions, and more generally to enhance local financial stability. We use bank-specific data for a range of Latin American countries since the mid-1990s to address elements of...

Persistent link: https://www.econbiz.de/10005526283

International dimensions of optimal monetary policy

Corsetti, Giancarlo; Pesenti, Paolo - Federal Reserve Bank of New York - 2001

This paper provides a baseline general-equilibrium model of optimal monetary policy among interdependent economies with monopolistic firms that set prices one period in advance. Strict adherence to inward-looking policy objectives such as the stabilization of domestic output cannot be optimal...

Persistent link: https://www.econbiz.de/10005526308

When is U.S. bank lending to emerging markets volatile?

Goldberg, Linda S. - Federal Reserve Bank of New York - 2001

Using bank-specific data on U.S. bank claims on individual foreign countries since the mid-1980s, this paper 1) characterizes the size and portfolio diversification patterns of the U.S. banks engaging in foreign lending, and 2) econometrically explores the determinants of fluctuations in U.S....

Persistent link: https://www.econbiz.de/10005526315

Financial integration and the wealth effect of exchange rate fluctuations

Tille, Cedric - Federal Reserve Bank of New York - 2005

these features of international financial integration in a simple general equilibrium model and analyze how they affect the … international transmission of monetary shocks. We find that financial integration is a central component of the model, with the … portfolio across asset categories and how structural features of the model interact with financial integration. …

Persistent link: https://www.econbiz.de/10005420482