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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

Trade dynamics in the market for federal funds

Afonso, Gara; Lagos, Ricardo - Federal Reserve Bank of New York - 2012

We develop a model of the market for federal funds that explicitly accounts for its two distinctive features: banks have to search for a suitable counterparty, and once they have met, both parties negotiate the size of the loan and the repayment. The theory is used to answer a number of positive...

Persistent link: https://www.econbiz.de/10010551300

The central-bank balance sheet as an instrument of monetary policy

Cúrdia, Vasco; Woodford, Michael - Federal Reserve Bank of New York - 2010

While many analyses of monetary policy consider only a target for a short-term nominal interest rate, other dimensions of policy have recently been of greater importance: changes in the supply of bank reserves, changes in the assets acquired by central banks, and changes in the interest rate...

Persistent link: https://www.econbiz.de/10008598715

Central bank dollar swap lines and overseas dollar funding costs

Goldberg, Linda S.; Kennedy, Craig; Miu, Jason - Federal Reserve Bank of New York - 2010

Following a scarcity of dollar funding available internationally to financial institutions, in December 2007 the Federal Reserve began to establish or expand Temporary Reciprocal Currency Arrangements with fourteen other central banks. These central banks had the capacity to use the swap...

Persistent link: https://www.econbiz.de/10008636158

Real time underlying inflation gauges for monetary policymakers

Amstad, Marlene; Potter, Simon - Federal Reserve Bank of New York - 2009

Central banks analyze a wide range of data to obtain better measures of underlying inflationary pressures. Factor models have widely been used to formalize this procedure. Using a dynamic factor model this paper develops a measure of underlying inflation (UIG) at time horizons of relevance for...

Persistent link: https://www.econbiz.de/10008636171

Conventional and unconventional monetary policy

Cúrdia, Vasco; Woodford, Michael - Federal Reserve Bank of New York - 2009

We extend a standard New Keynesian model both to incorporate heterogeneity in spending opportunities along with two sources of (potentially time-varying) credit spreads and to allow a role for the central bank's balance sheet in determining equilibrium. We use the model to investigate the...

Persistent link: https://www.econbiz.de/10008636195

Capital constraints, counterparty risk, and deviations from covered interest rate parity

Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - Federal Reserve Bank of New York - 2009

conditions and for the cost of capital are significant determinants of the CIP deviations, especially during the crisis period … results indicate a breakdown of arbitrage transactions in the international capital markets that owes partly to lack of … capital and partly to heightened counterparty credit risk. Central bank interventions helped reduce the funding liquidity risk …

Persistent link: https://www.econbiz.de/10008636197

Banking across borders with heterogeneous banks

Niepmann, Friederike - Federal Reserve Bank of New York - 2013

Individual banks differ substantially in their foreign operations. This paper introduces heterogeneous banks into a general equilibrium framework of banking across borders to explain the documented variation. While the model matches existing micro and macro evidence, novel and unexplored...

Persistent link: https://www.econbiz.de/10010640518

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 … system, banking and capital market developments are inseparable: Funding conditions are closely tied to fluctuations in the …

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