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Journal Article
An Empirical Economic Assessment of the Costs and Benefits of Bank Capital in the United States
Firestone, Simon; Ranish, Benjamin; Lorenc, Amy (2019)
We evaluate the economic costs and benefits of bank capital in the United States. The analysis is similar to that found in previous studies, though we tailor it to the specific features and experience of the U.S. financial system. We also make adjustments to account for the impact of liquidity- and resolution-related regulations on the probability of a financial crisis. We find that the level of capital that maximizes the difference between total benefits and total costs ranges from just over 13 percent to 26 percent. This range reflects a high degree of uncertainty and latitude in specifying ...
Review , Volume 101 , Issue 3

Working Paper
FinTech and Financial Innovation : Drivers and Depth
Schindler, John W. (2017-08-10)
This paper answers two questions that help those analyzing FinTech understand its origins, growth, and potential to affect financial stability. First, it answers the question of why "FinTech" is happening right now. Many of the technologies that support FinTech innovations are not new, but financial institutions and entrepreneurs are only now applying them to financial products and services. Analysis of the supply and demand factors that drive "traditional" financial innovation reveals a confluence of factors driving a large quantity of innovation. Second, this paper answers the question ...
Finance and Economics Discussion Series , Paper 2017-081

Journal Article
Peas in a pod? Comparing the U.S. and Danish mortgage finance systems
Vickery, James; Nielsen, Morten Bækmand; Berg, Jesper (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

Working Paper
Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model
http://fedora:8080/fcrepo/rest/objects/authors/; Correia, Sergio A.; Vojtech, Cindy M.; http://fedora:8080/fcrepo/rest/objects/authors/ (2020-02-13)
This technical note describes the Forward-Looking Analysis of Risk Events (FLARE) model, which is a top-down model that helps assess how well the banking system is positioned to weather exogenous macroeconomic shocks. FLARE estimates banking system capital under varying macroeconomic scenarios, time horizons, and other systemic shocks.
Finance and Economics Discussion Series , Paper 2020-015

Working Paper
Supply and demand shifts of shorts before Fed announcements during QE1–QE3
Planchon, Jade; McInish, Thomas H.; Neely, Christopher J. (2020-12-17)
Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies predict quantitative easing. A reduction in the quantity demanded at all points along the demand curve predicts expansionary quantitative easing announcements.
Working Papers , Paper 2020-051

Working Paper
Do bank bailouts reduce or increase systemic risk? the effects of TARP on financial system stability
Sedunov, John; Berger, Allen N.; Roman, Raluca (2016-10-04)
Theory suggests that bank bailouts may either reduce or increase systemic risk. This paper is the first to address this issue empirically, analyzing the U.S. Troubled Assets Relief Program (TARP). Difference-in-difference analysis suggests that TARP significantly reduced contributions to systemic risk, particularly for larger and safer banks located in better local economies. This occurred primarily through a capital cushion channel. {{p}} Results are robust to additional tests, including accounting for potential endogeneity and selection bias. Findings yield policy conclusions about the ...
Research Working Paper , Paper RWP 16-8

Report
Risk-neutral systemic risk indicators
Malz, Allan M. (2013)
This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from option prices, tying together the single-firm return distributions via a copula to simulate the joint distribution and ...
Staff Reports , Paper 607

Working Paper
The Credit Card Act and Consumer Debt Structure
Ronen, Joshua; Maingi, Ramain Quinn; Jagtiani, Julapa; Dou, Yiwei (2020-08-05)
We investigate whether the Credit Card Accountability, Responsibility, and Disclosure (CARD) Act of 2009 influenced the debt structure of consumers. By debt structure, we mean the proportion of total available credit from credit cards for each consumer.The act enhances disclosures of contractual and related information and restricts card issuers’ ability to raise interest rates or charge late or over-limit fees, primarily affecting non-prime borrowers. Using the credit history via the Federal Reserve Bank of New York/Equifax Consumer Credit Panel during 2006–2016, we find that the average ...
Working Papers , Paper 20-32

Working Paper
Optimal Monetary and Macroprudential Policies: Gains and Pitfalls in a Model of Financial Intermediation
Kiley, Michael T.; Sim, Jae W. (2015-09-04)
We estimate a quantitative general equilibrium model with nominal rigidities and financial intermediation to examine the interaction of monetary and macroprudential stabilization policies. The estimation procedure uses credit spreads to help identify the role of financial shocks amenable to stabilization via monetary or macroprudential instruments. The estimated model implies that monetary policy should not respond strongly to the credit cycle and can only partially insulate the economy from the distortionary effects of financial frictions/shocks. A counter-cyclical macroprudential instrument ...
Finance and Economics Discussion Series , Paper 2015-78

Working Paper
Inferring Term Rates from SOFR Futures Prices
Park, Yang-Ho; Heitfield, Erik (2019-03-05)
The Alternative Reference Rate Committee, a group of private-sector market participants convened by the Federal Reserve, has recommended that markets transition to the use of the Secured Overnight Financing Rate (SOFR) in financial contracts that currently reference US dollar LIBOR. This paper examines the feasibility of using SOFR futures prices to construct forward-looking term reference rates that are conceptually similar to the term LIBOR rates commonly used in loan contracts. We show that futures-implied term SOFR rates have closely tracked federal funds OIS rates over the eight months ...
Finance and Economics Discussion Series , Paper 2019-014

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