Search Results
Conference Paper
Basel II competitive implications
Conference Paper
Federal Reserve research on government-sponsored enterprises
Working Paper
Why are bank profits so persistent: the roles of product market competition, informational opacity, and regional/macroeconomic shocks
We investigate how banking market competition, informational opacity, and sensitivity to shocks have changed over the last three decades by examining the persistence of firm-level rents. We develop propagation mechanisms with testable implications to isolate the sources of persistence. Our analysis suggests that different processes underlie persistent performance at the high and low ends of the distribution. Our tests suggest that impediments to competition and informational opacity continue to be strong determinants of performance; that the reduction in geographic regulatory restrictions had ...
Journal Article
A reconsideration of the risk sensitivity of U.S. banking organization subordinated debt spreads: a sample selection approach
The authors estimate a sample selection model over three distinct regulatory "regimes" when the treatment of bank bondholders (in the event of bank failures) differed substantially. They then estimate their selection model to test the strength of bond market discipline over these three regulatory regimes, finding that bank bond spreads are positively associated with bank risk measures during all three regimes, even during the too-big-to-fail period.
Working Paper
Did the Federal Reserve's MBS purchase program lower mortgage rates?
We employ empirical pricing models for mortgage-backed security (MBS) yields and for mortgage rates to measure deviations from normal market functioning in order to assess how the Federal Reserve MBS purchase program--a 16 month program announced on November 25, 2008 and completed on March 31, 2010--affected risk premiums that were embedded in mortgage and swap markets. Our pricing models suggest that the announcement of the program, which signaled strong and credible government backing for mortgage markets in particular and for the financial system more generally, reduced mortgage rates by ...
Working Paper
Using subordinated debt to monitor bank holding companies: is it feasible?
Much research is needed to implement a supervisory surveillance system for banking organizations that relies on subordinated debt and other market data. This paper is germane to that task. We find subordinated debt spreads are most consistent across data sources for the most liquid bonds (i.e., those of relatively large issuance size, relatively young age, issued by relatively large firms) traded in a relatively robust overall bond market. We also find there is a high degree of concordance in rankings of firms by their minimum spreads across bonds with especially strong agreement about which ...