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An analysis of OTC interest rate derivatives transactions : implications for public reporting

Fleming, Michael J.; Jackson, John; Li, Ada; Sarkar, Asani - 2012

This paper examines the over-the-counter (OTC) interest rate derivatives (IRD) market in order to inform the design of post-trade price reporting. Our analysis uses a novel transaction-level data set to examine trading activity, the composition of market participants, levels of product...

Persistent link: https://www.econbiz.de/10009528779

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/10009709346

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/10010393220

Trading risk and volatility in interest rate swap spreads

Kambhu, John (contributor) - 2004 - [Elektronische Ressource]

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...

Persistent link: https://www.econbiz.de/10001936329

What to expect from the lower bound on interest rates : evidence from derivatives prices

Mertens, Thomas M.; Williams, John C. - 2018

This paper analyzes the effects of the lower bound for interest rates on the distributions of expectations for future inflation and interest rates. We study a stylized New Keynesian model where the policy instrument is subject to a lower bound to motivate the empirical analysis. Two equilibria...

Persistent link: https://www.econbiz.de/10011894408

Visible and hidden risk factors for banks

Schuermann, Til (contributor); Stiroh, Kevin J. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003336151

The shadow banking system : implications for financial regulation

Adrian, Tobias; Shin, Hyun Song - 2009

The current financial crisis has highlighted the growing importance of the “shadow banking system,” which grew out of the securitization of assets and the integration of banking with capital market developments. This trend has been most pronounced in the United States, but it has had a...

Persistent link: https://www.econbiz.de/10003864595

Corporate governance and banks : what have we learned from the financial crisis? : Hamid Mehran; Alan Morrison; Joel Shapiro

Mehran, Hamid; Morrison, Alan; Shapiro, Joel Andrew - 2011

Recent academic work and policy analysis give insight into the governance problems exposed by the financial crisis and suggest possible solutions. We begin this paper by explaining why governance of banks differs from governance of nonfinancial firms. We then look at four areas of governance:...

Persistent link: https://www.econbiz.de/10009160737

Money market funds intermediation, bank instability, and contagion

Cipriani, Marco; Martin, Antoine; Parigi, Bruno - 2013

intermediation through MMFs allows investors to limit their exposure to a given bank (i.e., reap gains from diversifi cation … an MMF-intermediated financial system is the release of private information on bank assets, which is aggregated by MMFs … and could lead them to withdraw en masse from a bank. In addition, we show that MMF intermediation can also be a channel …

Persistent link: https://www.econbiz.de/10009709312

Financial stability monitoring

Adrian, Tobias; Covitz, Daniel M.; Liang, Jean 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/10009721298