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Trading Relationships in the OTC Market for Secured Claims: Evidence from Triparty Repos 担保债权OTC市场的交易关系:来自三方回购的证据
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2016-05-27 DOI: 10.17016/FEDS.2016.064
Song Han, Kleopatra Nikolaou
{"title":"Trading Relationships in the OTC Market for Secured Claims: Evidence from Triparty Repos","authors":"Song Han, Kleopatra Nikolaou","doi":"10.17016/FEDS.2016.064","DOIUrl":"https://doi.org/10.17016/FEDS.2016.064","url":null,"abstract":"We use a new panel data set on intraday transactions of triparty repos (TPR) to study trading relationships in the over-the-counter market. We test the prediction that search frictions lead to relationship formation. We find that TPR trading parties form relationships with a broad number of counterparties but tend to focus their transaction volumes on only a small set of counterparties. We also find that having stable relationships and broader interactions across other funding markets positively shapes the relationships of investors with dealers in the TPR market. Finally, our results suggest that relationships affect the likelihood of a trade and terms of trade and help buffer demand and supply shocks to liquidity. Specifically, the Fed's Reverse Repurchase (RRP) exercise draws funds away from lenders in the TPR market, effectively generating a negative shock to the supply of funds for dealers. Meanwhile, Treasury auctions introduce a positive shock to the demand for funds by dealers. We find that in both cases, shocks are absorbed better by trade partners with stronger relationships.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127903272","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}
引用次数: 23
FHA, Fannie Mae, Freddie Mac, and the Great Recession 联邦住房管理局，房利美，房地美，以及大衰退
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2016-04-12 DOI: 10.17016/FEDS.2016.031r1
S. W. Passmore, S. Sherlund
{"title":"FHA, Fannie Mae, Freddie Mac, and the Great Recession","authors":"S. W. Passmore, S. Sherlund","doi":"10.17016/FEDS.2016.031r1","DOIUrl":"https://doi.org/10.17016/FEDS.2016.031r1","url":null,"abstract":"Did government mortgage programs mitigate the adverse economic effects of the financial crisis? We find that counties with greater participation in traditional government mortgage programs experienced less severe economic downturns during the Great Recession. In particular, counties with higher levels of participation in FHA, Fannie Mae, and Freddie Mac lending had relatively smaller increases in mortgage delinquency rates; smaller declines in purchase originations, home sales, home prices, and new automobile purchases; and smaller increases in unemployment rates. These results hold both in 2009 (soon after the peak of the financial crisis) and in 2014 (six years after the crisis). The persistence of better economic outcomes in these counties is consistent with a view that mortgage originators' access to a liquidity outlet (in this case, government-backed securitization) is key to maintaining credit flows and economic growth during financial turmoil.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126009578","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}
引用次数: 5
The Risky Steady State and the Interest Rate Lower Bound 风险稳定状态与利率下限
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2016-02-12 DOI: 10.17016/FEDS.2016.009
Timothy S. Hills, Taisuke Nakata, Sebastian Schmidt
{"title":"The Risky Steady State and the Interest Rate Lower Bound","authors":"Timothy S. Hills, Taisuke Nakata, Sebastian Schmidt","doi":"10.17016/FEDS.2016.009","DOIUrl":"https://doi.org/10.17016/FEDS.2016.009","url":null,"abstract":"Even when the policy rate is currently not constrained by its effective lower bound (ELB), the possibility that the policy rate will become constrained in the future lowers today's inflation by creating tail risk in future inflation and thus reducing expected inflation. In an empirically rich model calibrated to match key features of the U.S. economy, we find that the tail risk induced by the ELB causes inflation to undershoot the target rate of 2 percent by as much as 45 basis points at the economy's risky steady state. Our model suggests that achieving the inflation target may be more difficult now than before the Great Recession, if the recent ELB experience has led households and firms to revise up their estimate of the ELB frequency.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129946169","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}
引用次数: 48
Interpreting Shocks to the Relative Price of Investment with a Two-Sector Model 用双部门模型解释投资相对价格的冲击
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2016-02-01 DOI: 10.17016/FEDS.2016.007
L. Guerrieri, D. Henderson, Jinill Kim
{"title":"Interpreting Shocks to the Relative Price of Investment with a Two-Sector Model","authors":"L. Guerrieri, D. Henderson, Jinill Kim","doi":"10.17016/FEDS.2016.007","DOIUrl":"https://doi.org/10.17016/FEDS.2016.007","url":null,"abstract":"Consumption and investment comove over the business cycle in response to shocks that permanently move the price of investment. The interpretation of these shocks has relied on standard one-sector models or on models with two or more sectors that can be aggregated. However, the same interpretation continues to go through in models that cannot be aggregated into a standard one-sector model. Furthermore, such a two-sector model with distinct factor input shares across production sectors and commingling of sectoral outputs in the assembly of final consumption and investment goods, in line with the U.S. Input-Output Tables, has implications for aggregate variables. It yields a closer match to the empirical evidence of positive comovement for consumption and investment.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130426433","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}
引用次数: 3
Inequality in 3-D: Income, Consumption, and Wealth 三维的不平等:收入、消费和财富
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2015-11-12 DOI: 10.17016/FEDS.2018.001
Jonathan D. Fisher, David S. Johnson, T. Smeeding, Jeffrey Thompson
{"title":"Inequality in 3-D: Income, Consumption, and Wealth","authors":"Jonathan D. Fisher, David S. Johnson, T. Smeeding, Jeffrey Thompson","doi":"10.17016/FEDS.2018.001","DOIUrl":"https://doi.org/10.17016/FEDS.2018.001","url":null,"abstract":"We do not need to and should not have to choose amongst income, consumption, or wealth as the superior measure of well-being. All three individually and jointly determine well-being. We are the first to study inequality in three conjoint dimensions for the same households, using income, consumption, and wealth from the 1989-2016 Surveys of Consumer Finances (SCF). The paper focuses on two questions. What does inequality in two and three dimensions look like? Has inequality in multiple dimensions increased by less, by more, or by about the same as inequality in any one dimension? We find an increase in inequality in two dimensions and in three dimensions, with a faster increase in multi-dimensional inequality than in one-dimensional inequality. Viewing inequality through one dimension greatly understates the level and the growth in inequality in two and three dimensions. The U.S. is becoming more economically unequal than is generally understood.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131328763","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}
引用次数: 31
Advertising and Risk Selection in Health Insurance Markets 健康保险市场中的广告和风险选择
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2015-11-09 DOI: 10.17016/FEDS.2015.101
Naoki Aizawa, You Suk Kim
{"title":"Advertising and Risk Selection in Health Insurance Markets","authors":"Naoki Aizawa, You Suk Kim","doi":"10.17016/FEDS.2015.101","DOIUrl":"https://doi.org/10.17016/FEDS.2015.101","url":null,"abstract":"We study impacts of advertising as a channel of risk selection in Medicare Advantage. We show evidence that both mass and direct mail advertising are targeted to achieve risk selection. We develop and estimate an equilibrium model of Medicare Advantage with advertising to understand its equilibrium impacts. We find that advertising attracts the healthy more than the unhealthy. Moreover, shutting down advertising increases premiums by up to 40% for insurers that advertised by worsening their risk pools, which further reduces the demand of the unhealthy. We argue that risk selection may make consumers better off by improving insurers' risk pools.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126618889","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}
引用次数: 1
A Trillion Dollar Question: What Predicts Student Loan Delinquencies? 一个价值万亿美元的问题:如何预测学生贷款拖欠?
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2015-11-03 DOI: 10.17016/FEDS.2015.098
A. Mezza, K. Sommer
{"title":"A Trillion Dollar Question: What Predicts Student Loan Delinquencies?","authors":"A. Mezza, K. Sommer","doi":"10.17016/FEDS.2015.098","DOIUrl":"https://doi.org/10.17016/FEDS.2015.098","url":null,"abstract":"The recent significant increase in student loan delinquencies has generated interest in understanding the key factors predicting the non-performance of these loans. However, despite the large size of the student loan market, existing analyses have been limited by data. This paper studies predictors of student loan delinquencies using a nationally representative panel dataset that anonymously combines individual credit bureau records with Pell Grant and Federal student loan recipient information, records on college enrollment, graduation and major, and school characteristics. We show that borrower-level credit characteristics are important predictors of student loan delinquencies. In particular, credit scores of young borrowers are highly predictive of future student loan delinquencies, even when measured well before borrowers enter repayment. In marked contrast, our results point to only a limited power of student debt levels in predicting future student loan credit events. Our findings have potentially useful practical implications. For example, access to credit file information when borrowers exit school could help to more effectively target student loan borrowers who might benefit from enrolling in income-driven repayment or loan modification plans.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115330715","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}
引用次数: 23
Financial Incentives, Hospital Care, and Health Outcomes: Evidence from Fair Pricing Laws 财政激励、医院护理和健康结果:来自公平定价法的证据
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2015-11-01 DOI: 10.17016/FEDS.2015.107
Michael M. Batty, B. Ippolito
{"title":"Financial Incentives, Hospital Care, and Health Outcomes: Evidence from Fair Pricing Laws","authors":"Michael M. Batty, B. Ippolito","doi":"10.17016/FEDS.2015.107","DOIUrl":"https://doi.org/10.17016/FEDS.2015.107","url":null,"abstract":"It is often assumed that financial incentives of healthcare providers affect the care they deliver, but this issue is surprisingly difficult to study. The recent enactment of state laws that limit how much hospitals can charge uninsured patients provide a unique opportunity. Using an event study framework and panel data from the Nationwide Inpatient Sample, we examine whether these regulations lead to reductions in the amount and quality of care given to uninsured patients. We find that the introduction of a fair pricing law leads to a seven to nine percent reduction in the average length of hospital stay for uninsured patients, with no corresponding change for insured patients. These care reductions are not accompanied by worsening quality of inpatient care. Overall, our results provide strong evidence that hospitals actively alter their behavior in response to financial incentives, and are consistent with the laws promoting a shift towards more efficient care delivery. The findings also add to the growing evidence that hospitals can, and do, treat patients differently based upon insurance status.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"8 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121005566","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}
引用次数: 13
Financial Stress and Equilibrium Dynamics in Money Markets 货币市场中的金融压力和均衡动态
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2015-10-15 DOI: 10.2139/ssrn.2674605
Emre Yoldas, Zeynep Senyuz
{"title":"Financial Stress and Equilibrium Dynamics in Money Markets","authors":"Emre Yoldas, Zeynep Senyuz","doi":"10.2139/ssrn.2674605","DOIUrl":"https://doi.org/10.2139/ssrn.2674605","url":null,"abstract":"Interest rate spreads are widely-used indicators of funding pressures and market functioning in money markets. Using weekly data from 2002 to 2015, we analyze money market dynamics in a long-run equilibrium framework where commonly-monitored spreads serve as error correction terms. We find strong evidence for nonlinearities with respect to levels of the spreads. We provide point and interval estimates for spread thresholds that quantify funding pressure points from a long-run perspective. Our results indicate significant asymmetry in the adjustment toward long-run equilibrium. We show that economically and statistically significant adjustments occur only following large shocks to risk premia. Additionally, we quantify shifts in interest rate volatilities in high spread regimes characterized by elevated funding stress as well as declining correlations between risky funding rates and relatively safe base rates in such environments.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129607926","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}
引用次数: 3
Venture Capital and the Performance of Incumbents 风险投资与在职者绩效
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2015-09-25 DOI: 10.2139/ssrn.2666529
Timothy E. Dore
{"title":"Venture Capital and the Performance of Incumbents","authors":"Timothy E. Dore","doi":"10.2139/ssrn.2666529","DOIUrl":"https://doi.org/10.2139/ssrn.2666529","url":null,"abstract":"I study the effect of investment in young, private firms by venture capitalists (VC) on public firms in the same industry. I construct an instrument for VC investment that relies on individual VC's investment histories, holdings of equity stakes in IPO firms, and aggregate market returns immediately following those IPOs. I find that increased VC investment has a large effect on incumbent profitability. The effect arises due to higher costs and not depressed sales. The effect is short lived as firms respond by reallocating resources away from treated markets and by reducing their use of labor.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"228 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123300553","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}
引用次数: 1
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