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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. LIBOR's volatile behavior during the financial crisis provoked …

Persistent link: https://www.econbiz.de/10010393220

Bank funding risk, reference rates, and credit supply

Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - 2023 - Revised February 2023

2022, this impact was reduced by linking the interest paid on lines to credit-sensitive reference rates such as LIBOR. We …

Persistent link: https://www.econbiz.de/10013490630

The role of technology in mortgage lending

Fuster, Andreas; Plosser, Matthew; Schnabl, Philipp; … - 2018

Technology-based ("FinTech") lenders increased their market share of U.S. mortgage lending from 2 percent to 8 percent from 2010 to 2016. Using market-wide, loan-level data on U.S. mortgage applications and originations, we show that FinTech lenders process mortgage applications about 20 percent...

Persistent link: https://www.econbiz.de/10011795430

Bank liquidity, interbank markets, and monetary policy

Freixas, Xavier; Martin, Antoine; Skeie, David - 2009

A major lesson of the recent financial crisis is that the interbank lending market is crucial for banks that face uncertainty regarding their liquidity needs. This paper examines the efficiency of the interbank lending market in allocating funds and the optimal policy of a central bank in...

Persistent link: https://www.econbiz.de/10003864510

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 markets for Treasury and other collateral. We evaluate one aspect of the program — the extent to which it has narrowed repo spreads between Treasury collateral and less...

Persistent link: https://www.econbiz.de/10003948796

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

Gagnon, Joseph E.; Raskin, Matthew; Remache, Julie; … - 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/10003948813

House price booms, current account deficits, and low interest rates

Ferrero, Andrea - 2012 - Revised February 2012

One of the most striking features of the period before the Great Recession is the strong positive correlation between house price appreciation and current account deficits, not only in the United States but also in other countries that have subsequently experienced the highest degree of...

Persistent link: https://www.econbiz.de/10009521636

An interest rate rule to uniquely implement the optimal equilibrium in a liquidity trap

Duarte, Fernando; Zabai, Anna - 2015

We propose a new interest rate rule that implements the optimal equilibrium and eliminates all indeterminacy in a canonical New Keynesian model in which the zero lower bound on nominal interest rates (ZLB) is binding. The rule commits to zero nominal interest rates for a length of time that...

Persistent link: https://www.econbiz.de/10011346620

The microstructure of China's government bond market

Bai, Jennie; Fleming, Michael J.; Horan, Casidhe - 2013

Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but...

Persistent link: https://www.econbiz.de/10009752795

Payment size, negative equity, and mortgage default

Fuster, Andreas; Willen, Paul - 2012

Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the treatment effect of rate increases or loan modifi cations are confounded by borrower selection. We study a sample of hybrid adjustable-rate mortgages that have experienced large rate...

Persistent link: https://www.econbiz.de/10009664073