Journal Article
Earnings announcements, private information, and liquidity
Furfine, Craig H. (2006-01)
In this article, the author examines how the price impact of a trade varies throughout the days surrounding public earnings announcements. The results indicate that public news releases correlate with a reduction in the price impact of a trade on the day of the announcement
Economic Perspectives , Volume 30 , Issue Q I , Pages 39-54

Working Paper
Mergers and risk
Furfine, Craig H.; Rosen, Richard J. (2006)
This paper examines the impact of mergers on default risk, finding that, on average, a merger increases the default risk of the acquiring firm. This is surprising for two reasons: risk reduction is among the reasons commonly cited for mergers, and asset diversification should reduce default risk unless the newly-merged firm takes some action to increase risk. We associate the risk increase with mergers satisfying one of a trifecta of conditions related to agency problems: mergers financed with stock, acquirers with a high market- to-book ratio, and acquirers with poor stock price performance ...
Working Paper Series , Paper WP-06-09

Working Paper
Price discovery in a market under stress: the U.S. Treasury market in fall 1998
Remolona, Eli M.; Furfine, Craig H. (2005)
We analyze how price discovery in the inter- dealer market for U.S. Treasury securities differs between stressful times and normal periods. Using tick-by-tick data on inter-dealer transactions in the on-the- run two-year, five-year and 10-year Treasury notes, we find that the impact of trades on prices tends to become significantly stronger on stressful days. This effect remains after accounting for the faster trading, wider spreads, and shallower depth observed on stressful days
Working Paper Series , Paper WP-05-06

Working Paper
Analyzing alternative intraday credit policies in real-time gross settlement systems
Stehm, Jeff; Furfine, Craig H. (1997)
This paper examines a central bank's choice of intraday credit policy for Real-Time Gross Settlement (RTGS) systems. Formal analysis of central bank objectives and commercial bank payment activity provides insight into both the choice and effects of several possible intraday credit policies. Observed intraday credit policies are interpreted within the context of the model. Among G-10 central banks, different combinations of prices, collateral, and quantity limits have been chosen to manage the supply of intraday credit. Conditions that rationalize these choices are shown to rely on a) central ...
Finance and Economics Discussion Series , Paper 1997-40

Conference Paper
Empirical evidence on the need for a lender of last resort
Furfine, Craig H. (2000)
Proceedings , Paper 674

Conference Paper
Analyzing alternative daylight credit policies in real-time gross settlement systems
Stehm, Jeff; Furfine, Craig H. (1996)
Proceedings , Paper 516

Conference Paper
Interbank exposures: quantifying the risk of contagion
Furfine, Craig H. (1999)
Proceedings , Paper 633

Conference Paper
The costs and benefits of moral suasion: evidence from the rescue of long-term capital management
Furfine, Craig H. (2001)
Proceedings , Paper 725

Newsletter
Discount window borrowing: understanding recent experience
Furfine, Craig H. (2005-03)
By changing how it operates the discount window, the Fed aims to provide banks with a less burdensome source of short-term funding and to encourage commercial banks to occasionally use the Fed as a source of short-term funds.
Chicago Fed Letter , Issue Mar

Working Paper
Interbank payments and the daily federal funds rate
Furfine, Craig H. (1998)
This paper develops a model of bank reserve management and federal funds rate determination that incorporates the role of interbank payments. In the model, uncertainty in the receipt of payments generates a precautionary demand for bank reserves as banks face both reserve requirements and penalties for overnight overdrafts. Days with higher payment volume are assumed to create more uncertainty in a bank's reserve account that accentuates this precautionary motive. As a result, upward pressure is placed on the equilibrium funds rate. Implications of the model are then estimated using a panel ...
Finance and Economics Discussion Series , Paper 1998-31