Board of Governors of the Federal Reserve System Research Series最新文献

{"title":"Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement","authors":"Samim Ghamami, Bo Zhang","doi":"10.2139/ssrn.2544692","DOIUrl":"https://doi.org/10.2139/ssrn.2544692","url":null,"abstract":"Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty credit risk. We develop efficient Monte Carlo CCR estimation frameworks by focusing on the most widely used and regulatory-driven CCR measures: expected positive exposure (EPE), credit value adjustment (CVA), and effective expected positive exposure (EEPE). Our numerical examples illustrate that our proposed efficient Monte Carlo estimators outperform the existing crude estimators of these CCR measures substantially in terms of mean square error (MSE). We also demonstrate that the two widely used sampling methods, the so-called Path Dependent Simulation (PDS) and Direct Jump to Simulation date (DJS), are not equivalent in that they lead to Monte Carlo CCR estimators which are drastically different in terms of their MSE.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131700210","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"How Does Failure Spread Across Broker-Dealers and Dealer Banks?","authors":"J. Duarte, Adam Kolasinski","doi":"10.2139/ssrn.2467109","DOIUrl":"https://doi.org/10.2139/ssrn.2467109","url":null,"abstract":"We empirically test for the presence of two types of financial contagion across large broker-dealers and dealer banks during the crisis of 2007-2009: the type based on the idea that market illiquidity mediates the spread of distress from one dealer to others, or, “liquidity contagion”, and the type based on the idea that one dealer’s distress directly undermines the franchise value of others, or, “franchise value contagion”. We test for the two types of contagion against the null hypothesis that correlation in dealer-distress during the crisis was only due to an observable common shock to the real estate assets that triggered the crisis. We find evidence that prior to the Federal Reserve and Treasury market interventions in the Fall of 2008, both types of contagion were present. Franchise-value contagion, however, dominates, accounting for 95% of all contagion. Furthermore, unlike liquidity contagion which disappears after the interventions are in place, franchise-value contagion remains.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127168939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Taxes and International Risk Sharing","authors":"Brendan Epstein, R. Mukherjee, Shanthi P. Ramnath","doi":"10.2139/ssrn.2474841","DOIUrl":"https://doi.org/10.2139/ssrn.2474841","url":null,"abstract":"We examine the extent to which differences in international tax rates may account for the small correlations of per capita consumption fluctuations across countries. Theory implies a close relationship between relative consumption growth, and consumption and capital income tax rate differentials. We find strong empirical evidence for this relationship. Idiosyncratic output fluctuations account for the majority of cross country consumption growth variability, but trends in tax differentials are informative about the dynamic evolution of international risk sharing. In particular, adjusting for capital taxes reveals an intuitive positive relationship between financial connectedness and risk sharing that is absent in baseline measures.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121852000","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Sovereign Debt Crises","authors":"Ricardo Correa, Horacio. Sapriza","doi":"10.1093/OXFORDHB/9780199688500.013.0030","DOIUrl":"https://doi.org/10.1093/OXFORDHB/9780199688500.013.0030","url":null,"abstract":"Sovereign debt crises have been recurrent events over the past two centuries. In recent years, the timing of sovereign crises has coincided or has directly followed banking crises. The link between sovereigns and banks tightened as the contingent liability that the banking sector represents for the sovereign grew, as financial \"safety nets\" became more common. This chapter analyzes the transmission channels between sovereigns and banks, with a focus on the effect of sovereign distress on bank solvency and financing. It then highlights the notable cost to the real economy of the close connection between sovereigns and banks. Breaking the \"feedback loop\" between these two sectors should be an important policy priority.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"280 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116504138","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Gates, Fees, and Preemptive Runs","authors":"M. Cipriani, Antoine Martin, Patrick E. McCabe, Bruno Parigi","doi":"10.2139/ssrn.2434524","DOIUrl":"https://doi.org/10.2139/ssrn.2434524","url":null,"abstract":"We build a model of a financial intermediary, in the tradition of Diamond and Dybvig (1983), and show that allowing the intermediary to impose redemption fees or gates in a crisis--a form of suspension of convertibility--can lead to preemptive runs. In our model, a fraction of investors (depositors) can become informed about a shock to the return of the intermediary's assets. Later, the informed investors learn the realization of the shock and can choose their redemption behavior based on this information. We prove two results: First, there are situations in which informed investors would wait until the uncertainty is resolved before redeeming if redemption fees or gates cannot be imposed, but those same investors would redeem preemptively, if fees or gates are possible. Second, we show that for the intermediary, which maximizes expected utility of only its own investors, imposing gates or fees can be ex post optimal. These results have important policy implications for intermediaries that are vulnerable to runs, such as money market funds, because the preemptive runs that can be caused by the possibility of gates or fees may have damaging negative externalities.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128705682","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bank Ownership, Lending, and Local Economic Performance During the 2008-2010 Financial Crisis","authors":"Nicholas S. Coleman, Leo Feler","doi":"10.2139/ssrn.2423040","DOIUrl":"https://doi.org/10.2139/ssrn.2423040","url":null,"abstract":"Although government banks are frequently associated with political capture and resource misallocation, they may be well-positioned during times of crisis to provide countercyclical support. Following the collapse of Lehman Brothers in September 2008, Brazil's government banks substantially increased lending. Localities in Brazil with a high share of government banks received more loans and experienced better employment outcomes relative to localities with a low share of government banks. While increased government bank lending mitigated an economic downturn, we find that this lending was politically targeted, inefficiently allocated, and reduced productivity growth.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"290 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123105734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The European Debt Crisis Has Not Gone Away","authors":"William J. Dodwell","doi":"10.2139/ssrn.2400175","DOIUrl":"https://doi.org/10.2139/ssrn.2400175","url":null,"abstract":"Dangerous levels of European sovereign debt surprised the world in 2009 when exposed by a severe economic recession and the discovery that considerable government liabilities had been surreptitiously unreported. Bond valuations plummeted calling into question the stability of the European banking system which held almost half of the sovereign debt. Private debt holdings were also under siege from a collapse of real estate prices exacerbating the economic malaise. The perceived inability of European nations to control the problem, particularly in the eurozone, had grave implications for the world economy. Public unrest in Greece in reaction to budget austerity measures became a metaphor for what the U.S. might become if its debt isn’t reigned in. Yet since 2012 when ECB President Mario Draghi pronounced that he would do “whatever it takes” to preserve the eurozone, concern about the debt has abated as bond yields declined to near normal levels. Aggressive monetary easing, bank purchases of sovereign debt, and bailouts funded by the ECB, EU member states and the IMF have stabilized the financial system. But oppressive debt continues to lurk beneath that band aid. This reality flies in the face of complacent politicians, the public and seemingly even investors, who wait for sufficient economic growth to render the cure while fiat money and subsidization tide them over. In the meantime, very high unemployment, flat growth after two years of contraction, and the specter of deflation currently plague the real economy threatening the standard of living, as well as important U.S. export markets. Europe needs a permanent fiscal solution in the form of spending and tax cuts, as well as regulatory relief, which seriously challenge the entrenched entitlement culture that makes Europe’s sovereign debt problem even more serious than the U.S. public debt which enjoys universal safe haven status. Without economic growth predicated on a free private economy, debt will grow, creditworthiness will wane and prosperity will largely disappear. Since there is no political will to do this, that scenario might be deemed predictive as the world watches Nero fiddle.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117005269","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"\"It's Not You, it's Me\": Breakups in U.S.-China Trade Relationships","authors":"R. Monarch","doi":"10.17016/IFDP.2016.1165","DOIUrl":"https://doi.org/10.17016/IFDP.2016.1165","url":null,"abstract":"Costs to switching suppliers can affect prices by discouraging buyer movements from high to low cost sellers. This paper uses confidential U.S. Customs data on U.S. importers and their Chinese exporters to investigate these costs. I find considerable barriers to supply chain adjustments: 45% of arm’s-length importers keep their partner, and one-third of switching importers remain in the same city. Guided by these regularities, I propose and structurally estimate a dynamic discrete exporter choice model. Cost estimates are large and heterogeneous across products. These costs matter for trade prices: halving switching costs reduces the U.S.- China Import Price Index by 14.7%.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114354314","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Rising Intangible Capital, Shrinking Debt Capacity, and the US Corporate Savings Glut","authors":"Antonio Falato, Dalida Kadyrzhanova, J. Sim, R. Steri","doi":"10.2139/ssrn.3198030","DOIUrl":"https://doi.org/10.2139/ssrn.3198030","url":null,"abstract":"This paper explores the hypothesis that the rise in intangible capital is a fundamental driver of the secular trend in US corporate cash holdings over the last decades. Using a new measure, we show that intangible capital is the most important firm-level determinant of corporate cash holdings and that its importance increases monotonically with firms' financial constraint status and investment inflexibility. On average, our measure accounts for almost as much of the secular increase in cash since the 1970s as all other determinants together. We then develop a new dynamic model of corporate cash holdings with two productive assets, tangible and intangible capital. The interplay of real and financial frictions in the model leads firms with growth options to optimally hold cash in anticipation of (S,s)-type adjustments in physical capital because they want to avoid raising costly external finance. Since only tangible capital can be pledged as collateral, a shift toward intangible capital shrinks the debt capacity of firms and leads them to hold more cash in order to preserve financial flexibility. This mechanism is quantitatively important, as our model predicts an increase in cash holdings in line with the data in response to a realistic increase in intangible capital. We also consider alternative hypotheses, such as declining interest rates and rising equity issuance costs. Overall, our results suggest that technological change has contributed significantly to recent changes in corporate liquidity management.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133637534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Optimal Fiscal and Monetary Policy with Occasionally Binding Zero Bound Constraints","authors":"Taisuke Nakata","doi":"10.2139/ssrn.2303884","DOIUrl":"https://doi.org/10.2139/ssrn.2303884","url":null,"abstract":"This paper studies optimal fiscal and monetary policy when the nominal interest rate is subject to the zero lower bound (ZLB) constraint in a stochastic New Keynesian economy. In the baseline model calibrated to match key features of the U.S. economy, it is optimal for the government to increase its spending when at the ZLB in the stochastic environment by about 60 percent more than it would in the deterministic environment. The presence of uncertainty creates a unique time-consistency problem if the steady state is inefficient. Although access to government spending policy increases welfare in the face of a large deflationary shock, it decreases welfare during normal times as the government reduces the nominal interest rate less aggressively before reaching the ZLB.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124157085","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}