An unprecedented amount of aid was extended by the Treasury, Fed and FDIC to companies, agencies and individuals. This aid was necessary and, in many cases, will return a profit to taxpayers.

This paper investigates transactions and interest rates on brokered and direct trades in federal funds, Eurodollar transactions, and repurchase agreements, all of which are used by banks in overnight funding. We expand on earlier work on calendar-day effects in these markets, investigating also...

Federal funds and eurodollar futures contracts are among the most useful instruments for deriving expectations of the future path of monetary policy. However, reading policy expectations from those instruments is complicated by the presence of risk premia. This paper demonstrates how to extract...

This paper utilizes a Markov-switching framework to model excess returns in federal funds futures contracts. This framework identifies a high-volatility state where excess returns are large, positive, and volatile and a low-volatility state where excess returns have a lower volatility and are...

ENGLISH ABSTRACT: The importance of market microstructure in determining the success of a bond market inallocating financial resources depends on the degree to which the microstructure elements likeliquidity, efficiency and volatility have been designed to determine the proper price at...

This dissertation studies two issues in empirical analysis of financial markets: The herd behavior in global markets and illiquidity as a risk factor to predict excess stock returns in international markets. These issues are structured into two essays.Essay #1 examines investors’ herding...

We build a model of financial sector illiquidity in an open economy. Illiquidity is defined as a situation in which a country's consolidated financial system has potential short-term obligations that exceed the amount of foreign currency available on short notice. We show that illiquidity is key...

This paper develops a model in which information losses may be an important part of the cost of an OTC derivatives dealer's failure. A dealer failure forces solvent counterparties of a failed dealer to seek replacement hedges with other dealers. However, by forcing good firms into the...

Firms with private information about the outcomes of production under uncertainty may face capital (liquidity) constraints that prevent them from attaining efficient levels of investment in a world with costly and/or imperfect monitoring. As an alternative, we examine the efficiency of a simple...