Search Results

Showing results 1 to 10 of approximately 38.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Ihrig, Jane E. 

Journal Article
How Have Banks Been Managing the Composition of High-Quality Liquid Assets?

Banks? liquidity management practices are fundamental to understanding the implementation and transmission of monetary policy. Since the Global Financial Crisis of 2007-09, these practices have been shaped importantly by the liquidity coverage ratio requirement. Given the lack of public data on how banks have been meeting this requirement, we construct estimates of U.S. banks? high-quality liquid assets (HQLA) and examine how banks have managed these assets since the crisis. We find that banks have adopted a wide range of HQLA compositions and show that this empirical finding is consistent ...
Review , Volume 101 , Issue 3

Working Paper
The effect of markups on the exchange rate exposure of stock returns

This paper examines how to properly specify and test for factors that affect the exchange-rate exposure of stock returns. We develop a theoretical model, which explicitly identifies three channels of exposure. An industry's exposure increases (1) by greater competitiveness in the market where its final output is sold, (2) the interaction of greater competitiveness in its export market and a larger share of exports in production and, (3) the interaction of less competitiveness in its imported input market and the smaller the share of imports in production. Using a sample of 82 U.S. ...
International Finance Discussion Papers , Paper 661

Working Paper
The Federal Reserve's balance sheet: a primer and projections

Over the past few years, the Federal Reserve's use of unconventional monetary policy tools has led it to hold a large portfolio of securities. The securities holdings in excess of historical norms have been shown to be putting downward pressure on longer-term interest rates. One question asked is how long this unusual amount of monetary policy accommodation will be in place. Here we provide projections of the evolution of the Federal Reserve's balance sheet that are consistent with public economic forecasts and announced Federal Open Market Committee policy principles to help answer this ...
Finance and Economics Discussion Series , Paper 2012-56

Working Paper
Monetary Policy 101: A Primer on the Fed's Changing Approach to Policy Implementation

The Federal Reserve conducts monetary policy in order to achieve its statutory mandate of maximum employment, stable prices, and moderate long-term interest rates as prescribed by the Congress and laid out in the Federal Reserve Act. For many years prior to the financial crisis, the FOMC set a target for the federal funds rate and achieved that target through purchases and sales of securities in the open market. In the aftermath of the financial crisis, with a superabundant level of reserve balances in the banking system having been created as a result of the Federal Reserve's large scale ...
Finance and Economics Discussion Series , Paper 2015-47

Working Paper
How Have Banks Been Managing the Composition of High-Quality Liquid Assets?

We study banks' post-crisis liquidity management. We construct time series of U.S. banks' holdings of high-quality liquid assets (HQLA) and examine how these assets have been managed in recent years to comply with the Liquidity Coverage Ratio (LCR) requirement. We find that, in becoming LCR compliant, banks initially ramped up their stock of reserve balances. However, once the requirement was met, some banks subsequently shifted the compositions of their liquid portfolios significantly. This raises the question: What drives the compositions of banks? HQLA? We show that a risk-return framework ...
Finance and Economics Discussion Series , Paper 2017-092

Working Paper
The Federal Reserve's Portfolio and its Effect on Interest Rates

We explore the historical composition of the Federal Reserve's Treasury portfolio and its effect on Treasury yields. Using data from 1985 to 2016, we show that the divergence of the composition of the Federal Reserve's portfolio from overall Treasury securities outstanding is associated with a statistically significant effect on interest rates. In aggregate, when the Federal Reserve's portfolio has shorter maturity than overall Treasury debt outstanding, measures of the term premium are higher at all horizons; likewise, when the Federal Reserve's portfolio has longer maturity, term premiums ...
Finance and Economics Discussion Series , Paper 2017-075

Working Paper
Modeling direct investment valuation adjustments and estimating quarterly positions

This paper takes an in-depth look at U.S. direct investment valuation adjustments. We develop a methodology to generate valuation adjustments at the quarterly frequency, which can be combined with the Bureau of Economic Analysis's quarterly direct investment flows to obtain quarterly estimates of direct investment assets and liabilities. Our methodology involves two steps. First, we estimate valuation adjustment models with annual data. Our models rely on variables that reflect terms used by the Bureau of Economic Analysis in their data construction: exchange-rate changes, changes in the ...
International Finance Discussion Papers , Paper 857

Working Paper
Expectations about the Federal Reserve's balance sheet and the term structure of interest rates

This paper provides a systematic assessment of the effect of the Federal Reserve's asset purchase programs on Treasury yields, with particular emphasis on the role of market expectations about the evolution of the Federal Reserve's balance sheet and of interest rates on the impact of the programs. We construct measures of such market expectations based on Blue Chip survey forecasts, Congressional Budget Office projections, and information from formal FOMC communications. Those measures are combined with a no-arbitrage term structure model, in which yields are driven by current and expected ...
Finance and Economics Discussion Series , Paper 2012-57

Journal Article
Changes in manufacturing employment in North Carolina counties, 1980-1985

Does an inappropriate industry mix and structure condemn rural areas to a competitive disadvantage with respect to urban areas? This study of employment changes from 1980-85 in North Carolina counties suggests not.
Economic Review , Volume 75 , Issue Sep , Pages 37-46

Working Paper
The Federal Reserve's balance sheet and earnings: a primer and projections

Over the past few years, the Federal Reserve's use of unconventional monetary policy tools has led it to hold a large portfolio of securities. The asset purchases are intended to put downward pressure on longer-term interest rates, but also affect the Federal Reserve's balance sheet and income. We present a framework for projecting Federal Reserve assets and liabilities and income through time. The projections are based on public economic forecasts and announced Federal Open Market Committee policy principles. The projections imply that for the next several years, the Federal Reserve's ...
Finance and Economics Discussion Series , Paper 2013-01

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

E58 6 items

E52 5 items

E43 3 items

E51 2 items

G21 2 items

G28 2 items

show more (6)

FILTER BY Keywords

Foreign exchange rates 5 items

FOMC 4 items

Federal Reserve 3 items

Inflation (Finance) 3 items

Reserve balances 3 items

monetary policy 3 items

show more (79)

PREVIOUS / NEXT