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Journal Article
Peas in a pod? Comparing the U.S. and Danish mortgage finance systems
Berg, Jesper; Vickery, James; Nielsen, Morten Bækmand (2018-24-03)
Like the United States, Denmark relies heavily on capital markets for funding residential mortgages, and its covered bond market bears a number of similarities to U.S. agency securitization. This article describes the key features of the Danish mortgage finance system and compares and contrasts them with those of the U.S. system. In addition, it highlights characteristics of the Danish model that may be of interest as the United States considers further mortgage finance reform. In particular, the Danish system includes features that mitigate refinancing frictions during periods of falling ...
Economic Policy Review , Issue 24-3 , Pages 63-87

Report
Taxes, Regulations, and the Value of U.S. Corporations: A Reassessment
McGrattan, Ellen R. (2023-07-12)
This paper reassesses the conclusions of McGrattan and Prescott (2005), which derived the quantitative implications of growth theory for U.S. corporate valuations. In addition to having two more decades of data, the analysis incorporates recent changes in policies that affect corporate investments, taxes, and legal-form choice. Secular trends identified in the earlier period remain, with little change in the tangible capital-output ratio or profit share of output. Corporate valuations remain high relative to the postwar average, in line with the theoretical prediction. Critical to this ...
Staff Report , Paper 647

Working Paper
Asset Manager Commonality and Portfolio Similarity
Ozdagli, Ali; Ryfe, Dylan (2025-04-25)
Asset managers are increasingly influential in financial markets. We use new regulatory as well as manually collected data on asset managers of life insurers, the largest institutional investors of corporate bonds, and find that insurers with the same asset managers have more similar portfolios and trades. This similarity increases further if the asset manager actively oversees the majority of both insurers’ assets. Moreover, the effect intensifies the longer insurers share the same asset manager. Nevertheless, the effect is primarily driven by purchases rather than sales and the resulting ...
Working Papers , Paper 2515

Journal Article
Tornado Cash and Blockchain Privacy: A Primer for Economists and Policymakers
Nadler, Matthias; Schär, Fabian (2023-04-10)
This article explores non-custodial crypto asset mixers such as Tornado Cash. We analyze what types of mixers exist and how they work. We discuss opportunities and risks and offer an approach, based on voluntary disclosure, that would allow financial market regulators to combat money laundering and illicit activities, while allowing honest users to interact with privacy-enhancing protocols. We explain how crypto asset mixers play an important role on public blockchains and that privacy may be difficult to attain without them.
Review , Volume 105 , Issue 2 , Pages 122-136

Journal Article
Credit risk transfer and de facto GSE reform
Strzodka, Andreas; Vickery, James; Finkelstein, David (2018-24-03)
The Fannie Mae and Freddie Mac credit risk transfer (CRT) programs, now in their fifth year, shift a portion of credit risk on more than $1.8 trillion of mortgages to private-sector investors. This study summarizes and evaluates the CRT programs, finding that they have been successful in reducing the exposure of the government-sponsored enterprises and the federal government to mortgage credit risk without disrupting the liquidity or stability of mortgage secondary markets. The programs have also created a new financial market for pricing and trading mortgage credit risk, which has grown in ...
Economic Policy Review , Issue 24-3 , Pages 88-116

Report
The costs and benefits of dual trading
Sarkar, Asani; Wu, Lifan; Park, Hun Y. (1995)
This paper finds that marketmaking practices of dual traders are pit-specific. In the S&P 500 futures pit, the authors estimate that, because of a lower price impact, customers of dual traders pay eighteen cents less per contract on their trades, compared with customers of pure brokers. According to the authors' estimates, however, customers pay eleven cents more per contract for a purchase and receive nine cents less per contract for a sale, compared with the prices dual traders obtain for their own trades. Thus, the estimated net benefit of dual trading to customers in the S&P 500 futures ...
Staff Reports , Paper 2

Journal Article
Stability of funding models: an analytical framework
Yorulmazer, Tanju; Eisenbach, Thomas M.; McAndrews, James J.; Keister, Todd (2014-02)
With the recent financial crisis, many financial intermediaries experienced strains created by declining asset values and a loss of funding sources. In reviewing these stress events, one notices that some arrangements appear to have been more stable?that is, better able to withstand shocks to their asset values and/or funding sources?than others. Because the precise determinants of this stability are not well understood, gaining a better grasp of them is a critical task for market participants and policymakers as they try to design more resilient arrangements and improve financial regulation. ...
Economic Policy Review , Issue Feb , Pages 29-47

Working Paper
Banking on Deforestation: The Cost of Nonenforcement
Berger, Allen N.; Ortega, Cristina; Ossandon Busch, Matias; Roman, Raluca (2024-12-05)
Despite surging environmental laws, how their enforcement influences banks’ management of climate risks remains underexplored. Using the Brazilian Amazon as a laboratory, we examine the impact of a shock to environmental law enforcement capacity on bank management of risks arising from deforestation — a significant but understudied climate risk. After enforcement declined, Brazilian banks significantly altered their priorities to more short-term profitability over longer-term risk concerns. Banks greatly increased lending to agribusinesses engaged in deforestation and actively shifted ...
Working Papers , Paper 24-21

Report
Global Liquidity: Drivers, Volatility and Toolkits
Goldberg, Linda S. (2023-06-01)
Global liquidity refers to the volumes of financial flows—largely intermediated through global banks and non-bank financial institutions—that can move at relatively high frequencies across borders. The amplitude of responses to global conditions like risk sentiment, discussed in the context of the global financial cycle, depends on the characteristics and vulnerabilities of the institutions providing funding flows. Evidence from across empirical approaches and using granular data provides policy-relevant lessons. International spillovers of monetary policy and risk sentiment through ...
Staff Reports , Paper 1064

Report
Reference guide to U.S. repo and securities lending markets
Copeland, Adam; McCaughrin, Rebecca; Baklanova, Viktoria (2015-09-01)
This paper is intended to serve as a reference guide on U.S. repo and securities lending markets. It begins by presenting the institutional structure, and then describes the market landscape, the role of the participants, and other characteristics, including how repo and securities lending activity has changed since the 2007-09 financial crisis. The paper then discusses vulnerabilities in the repo and short-term wholesale funding markets and the efforts to limit potential systemic risks. It next provides an overview of existing data sources on securities financing markets and highlights ...
Staff Reports , Paper 740

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