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Discussion of "an integrated framework for multiple financial regulations"
Adrian, Tobias - 2012
A 2012 paper by Goodhart, Kashyap, Tsomocos, and Vardoulakis (GKTV) proposes a dynamic general equilibrium framework that provides a conceptual - and to some extent quantitative - framework for the analysis of macroprudential policies. The distinguishing feature of GKTV's paper relative to any...
Persistent link: https://www.econbiz.de/10009669924
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Credit risk transfer and de facto GSE reform
Finkelstein, David L.; Strzodka, Andreas; Vickery, James - 2018
We summarize and evaluate Fannie Mae and Freddie Mac's credit risk transfer (CRT) programs, which have been used since 2013 to shift a portion of credit risk on more than $1.8 trillion of mortgages to private sector investors. We argue that the CRT programs have been successful in reducing the...
Persistent link: https://www.econbiz.de/10011806244
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The mechanics of a graceful exit : interest on reserves and segmentation in the federal funds market
Bech, Morten L.; Klee, Elizabeth - 2009
To combat the financial crisis that intensified in the fall of 2008, the Federal Reserve injected a substantial amount of liquidity into the banking system. The resulting increase in reserve balances exerted downward price pressure in the federal funds market, and the effective federal funds...
Persistent link: https://www.econbiz.de/10003948208
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Efficient, regression-based estimation of dynamic asset pricing models
Adrian, Tobias; Crump, Richard K.; Mönch, Emanuel - 2011
We study regression-based estimators for beta representations of dynamic asset pricing models with affine and exponentially affine pricing kernel specifications. These estimators extend static cross-sectional asset pricing estimators to settings where prices of risk vary with observed state...
Persistent link: https://www.econbiz.de/10008991260
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Bank capital regulation and structured finance
Martin, Antoine; Parigi, Bruno - 2011
We construct a model in which bank capital regulation and financial innovation interact. Innovation takes the form of … different capital charges, a process that captures some stylized features of structured finance. Regulation is motivated by the … divergence of private and social interests in future profits. Capital regulation lowers bank profits and may induce banks to …
Persistent link: https://www.econbiz.de/10008991265
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Interbank market and central bank policy
Ahn, Jung-hyun; Bignon, Vincent; Breton, Régis; … - 2016
the new Basel III regulation. In our model, banks hold tradable and nontradable assets. Nontradable assets are subject to …
Persistent link: https://www.econbiz.de/10011419845
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An anatomy of U.S. personal bankruptcy under Chapter 13
Eraslan, Hülya; Koşar, Gizem; Li, Wenli; Sarte, … - 2016
We build a structural model of Chapter 13 bankruptcy that captures salient features of personal bankruptcy under Chapter 13. We estimate our model using a novel data set that we construct from bankruptcy court dockets recorded in Delaware in 2001 and 2002. Our estimation results highlight the...
Persistent link: https://www.econbiz.de/10011419852
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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
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Dealer financial conditions and lender-of-last-resort facilities
Acharya, Viral V.; Fleming, Michael J.; Hrung, Warren B.; … - 2014
We examine the financial conditions of dealers that participated in two of the Federal Reserve's lender-of-last-resort (LOLR) facilities -- the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF) -- that provided liquidity against a range of assets during...
Persistent link: https://www.econbiz.de/10010404154
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A primer on the GCF Repo Service
Agueci, Paul (contributor); Alkan, Leyla (contributor);  … - 2014 - Revised May 2014
This primer provides a detailed description of the GCF Repo ® Service, a financial service provided by the Fixed Income Clearing Corporation. The primer is composed of an introductory note and two separate papers. The first paper focuses on the clearance and settlement of GCF Repo. These...
Persistent link: https://www.econbiz.de/10010404162