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A dynamic theory of collateral quality and long-term interventions

Lee, Michael Junho; Neuhann, Daniel - 2019

liquidity over incentives. Optimal interventions with commitment call for large, long-term subsidies in excess of what is … required to restore liquidity. …

Persistent link: https://www.econbiz.de/10012038843

Asset pricing with cohort-based trading in MBS markets

Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021 - Revised July 2021

Agency mortgage backed securities (MBS) with diverse characteristics are traded in parallel with individualized contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that this unique parallel trading environment significantly...

Persistent link: https://www.econbiz.de/10012240625

Dealer capacity and U.S. treasury market functionality

Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023 - Revised October 2023

market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

Persistent link: https://www.econbiz.de/10014393396

Defragmenting markets: evidence from agency MBS

Liu, Haoyang; Song, Zhaogang; Vickery, James - 2021

forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in … increased the liquidity and prices of Freddie Mac MBS without measurably reducing liquidity for Fannie Mae; this was in part … to the consolidation event, in anticipation of future liquidity. Consolidation increased Freddie Mac’s fee income by …

Persistent link: https://www.econbiz.de/10012511399

Monetary cycles, financial cycles, and the business cycle

Adrian, Tobias; Estrella, Arturo; Shin, Hyun Song - 2010

One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper,...

Persistent link: https://www.econbiz.de/10003948217

Segregated balance accounts

Garratt, Rod; Martin, Antoine; McAndrews, James Joseph; … - 2015

This paper describes segregated balance accounts (SBAs), a concept for a new type of account that could provide increased competition for deposits, reduce system-wide balance sheet costs, and improve the transmission of monetary policy by facilitating greater pass-through of interest on excess...

Persistent link: https://www.econbiz.de/10010528292

Stock market participation, inequality, and monetary policy

Melcangi, Davide; Sterk, Vincent - 2020

What role does stock investment play in the transmission of monetary policy to the real economy? We study this question using a New Keynesian model with heterogeneous households. Following a monetary tightening, stock market participants rebalance their investments away from stocks, in line with...

Persistent link: https://www.econbiz.de/10012240629

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

Cúrdia, Vasco; Woodford, Michael - 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/10008657197

Cournot fire sales

Eisenbach, Thomas M.; Phelan, Gregory - 2018

illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through … internalizing the externality and find that this is far from guaranteed. In a standard model of liquidity shocks, when liquidity is … sufficiently scarce, Cournot competition leads to even less liquidity than the Walrasian equilibrium. In a standard model of …

Persistent link: https://www.econbiz.de/10011806238

Credit risk transfer and de facto GSE reform

Finkelstein, David L.; Strzodka, Andreas; Vickery, James - 2018

disrupting the liquidity or stability of mortgage secondary markets. In the process, the programs have created a new financial … market for pricing and trading mortgage credit risk, which has grown in size and liquidity over time. The CRT programs …

Persistent link: https://www.econbiz.de/10011806244

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