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The information value of the stress test and bank opacity

Peristiani, Stavros C.; Morgan, Donald P.; Savino, Vanessa - 2010

We investigate whether the “stress test,” the extraordinary examination of the nineteen largest U.S. bank holding companies conducted by federal bank supervisors in 2009, produced information demanded by the market. Using standard event study techniques, we find that the market had largely...

Persistent link: https://www.econbiz.de/10008657205

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

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

post-trade price reporting. Our analysis uses a novel transaction-level data set to examine trading activity, the … infrequently and with diverse contract terms, limiting the impact on price formation from the reporting of those transactions …, a price-reporting regime could be designed in a manner that does not disrupt market-making activity. -- interest rate …

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

The federal funds market over the 2007-09 crisis

Copeland, Adam - 2019

This paper measures how the 2007-09 financial crisis affected the U.S. federal funds market. I accomplish this by developing and estimating a structural model of this market, in which intermediation plays a crucial role and borrowing banks differ in their unobserved probability of default. The...

Persistent link: https://www.econbiz.de/10012123503

The rescue of Fannie Mae and Freddie Mac

Frame, W. Scott; Fuster, Andreas; Tracy, Joseph S.; … - 2015

We describe and evaluate the measures taken by the U.S. government to rescue Fannie Mae and Freddie Mac in September 2008. We begin by outlining the business model of these two firms and their role in the U.S. housing finance system. Our focus then turns to the sources of financial distress that...

Persistent link: https://www.econbiz.de/10010500676

CDS and equity market reactions to stock issuances in the U.S. financial industry : evidence from the 2002-13 period

Cornett, Marcia Millon; Mehran, Hamid; Pan, Kevin; … - 2014

We study market reactions to seasoned equity issuances that were announced by financial companies between 2002 and 2013. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using daily credit default swap (CDS) and stock market pricing...

Persistent link: https://www.econbiz.de/10010423809

Is size everything?

Antill, Samuel; Sarkar, Asani - 2018

We examine sources of systemic risk (threshold size, complexity, and interconnectedness) with factors constructed from equity returns of large financial firms, after accounting for standard risk factors. From the factor loadings and factor returns, we estimate the implicit government subsidy for...

Persistent link: https://www.econbiz.de/10011894404

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

Bank holding company dividends and repurchases during the financial crisis

Hirtle, Beverly J. - 2014

Many large U.S. bank holding companies (BHCs) continued to pay dividends during the recent financial crisis, even as financial market conditions deteriorated, large losses accumulated, and emergency capital and liquidity were being provided by the official sector. In contrast, share repurchases...

Persistent link: https://www.econbiz.de/10010393223

Auctions implemented by the Federal Reserve Bank of New York during the great recession

Armantier, Olivier; Sporn, John - 2013

During the Great Recession, the Federal Reserve implemented several novel programs to address adverse conditions in financial markets. Three of these temporary programs relied on an auction mechanism: the Term Auction Facility, the Term Securities Lending Facility, and the disposition of the...

Persistent link: https://www.econbiz.de/10010201315

Central bank macroeconomic forecasting during the global financial crisis : the European Central Bank and Federal Reserve Bank of New York experiences

Alessi, Lucia; Ghysels, Eric; Onorante, Luca; Peach, … - 2014

This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between the two institutions, allowing us to study the time-stamped...

Persistent link: https://www.econbiz.de/10010404063

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