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Banking supervision: the perspective from economics
Hirtle, Beverly J. - 2020
Economists have extensively analyzed the regulation of banks and the banking industry, but have devoted considerably … less attention to bank supervision as a distinct activity. Indeed, much of the banking literature has used the terms … "supervision" and "regulation" interchangeably. This paper provides a heuristic review of the economics literature on …
Persistent link: https://www.econbiz.de/10012391496
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Fire-sale spillovers and systemic risk
Duarte, Fernando; Eisenbach, Thomas M. - 2013
We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...
Persistent link: https://www.econbiz.de/10010202672
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A leverage-based measure of financial instability
Tepper, Alexander; Borowiecki, Karol Jan - 2014
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market instability. Specifically, we derive a quantitative condition for how large levered investors can become relative to the whole market before the demand curve for securities...
Persistent link: https://www.econbiz.de/10010404536
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Banks' balance-sheet costs, monetary policy, and the ON RRP
Afonso, Gara; Cipriani, Marco; La Spada, Gabriele - 2022
In June 2022, the Federal Reserve started reducing the size of its balance sheet, which had expanded to just under $9 trillion in response to the COVID-19 pandemic. However, whereas banks' reserves at the Federal Reserve have decreased, the investment of money market funds (MMFs) at the Federal...
Persistent link: https://www.econbiz.de/10013465412
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Liquidity and leverage
Adrian, Tobias (contributor); Shin, Hyun Song (contributor) - 2008
In a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, eliciting responses from financial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is...
Persistent link: https://www.econbiz.de/10003781549
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CoVaR
Adrian, Tobias (contributor);  … - 2008
systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …
Persistent link: https://www.econbiz.de/10003781783
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Liquidity risk, credit risk, and the Federal Reserve’s responses to the crisis
Sarkar, Asani - 2009
In responding to the severity and broad scope of the financial crisis that began in 2007, the Federal Reserve has made aggressive use of both traditional monetary policy instruments and innovative tools in an effort to provide liquidity. In this paper, I examine the Fed’s actions in light of...
Persistent link: https://www.econbiz.de/10003947548
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Securities lending
Lipson, Paul C.; Sabel, Bradley K.; Keane, Frank M. - 2012
This paper, originally released in August 1989 as part of a Federal Reserve Bank of New York series on the U.S. securities markets, examines loans of Treasury and agency securities in the domestic market. It highlights some important institutional characteristics of securities loan transactions,...
Persistent link: https://www.econbiz.de/10009526775
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Repo and securities lending
Adrian, Tobias; Begalle, Brian; Copeland, Adam; Martin, … - 2011
We provide an overview of the data requirements necessary to monitor repurchase agreements (repos) and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets, then argue...
Persistent link: https://www.econbiz.de/10009411379
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Which financial frictions? : parsing the evidence from the financial crisis of 2007-09
Adrian, Tobias; Colla, Paolo; Shin, Hyun Song - 2011
The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...
Persistent link: https://www.econbiz.de/10009411381