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Working Paper
Forward-looking and Incentive-compatible Operational Risk Capital Framework
Migueis, Marco (2017-08-22)
This paper proposes an alternative framework to set banks? operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism. This approach would improve upon the vulnerability to gaming of the AMA and the lack of risk-sensitivity of BCBS?s new standardized approach for operational risk.
Finance and Economics Discussion Series , Paper 2017-087

Report
Managing the Maturity Structure of Marketable Treasury Debt: 1953-1983
Garbade, Kenneth D. (2020-07-01)
This paper examines the evolution of the maturity structure of marketable Treasury debt from 1953 to 1983. Average maturity contracted erratically from 1953 to 1960, expanded through mid-1965, contracted again through late 1975, and then expanded into the early 1980s. What accounts for these broad trends? In particular, what were the maturity objectives of Treasury debt managers? Were they able to achieve their objectives? Why or why not?
Staff Reports , Paper 936

Working Paper
The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Giuzio, Margherita; Paterlini, Sandra; Craig, Ben R. (2019-05-28)
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks. First, we capture the dependence structure of European countries? sovereign risks and identify the common factors driving European sovereign CDS spreads by means of an independent component analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks ...
Working Papers , Paper 19-12

Working Paper
New Financial Stability Governance Structures and Central Banks
Liang, J. Nellie; Edge, Rochelle M. (2019-03-25)
We evaluate the institutional frameworks developed to implement time-varying macroprudential policies in 58 countries. We focus on new financial stability committees (FSCs) that have grown dramatically in number since the global financial crisis, and their interaction with central banks, and infer countries? revealed preferences for effectiveness versus political economy considerations. Using cluster analysis, we find that only one-quarter of FSCs have both good processes and good tools to implement macroprudential actions, and that instead most FSCs have been designed to improve ...
Finance and Economics Discussion Series , Paper 2019-019

Journal Article
Subjective Assessment of Managerial Performance and Decisionmaking in Banking
Coster, Daniel; Dahl, Drew (2022-07-14)
We examine subjective supervisory assessments of managerial performance in the banking industry. Results of empirical tests show that better assessments are (i) positively associated with decisions made by examiners to upgrade relatively objective bank performance ratings; (ii) negatively associated with decisions made by examiners to downgrade relatively objective bank performance ratings; and (iii) positively associated with decisions made by bank holding company managers to distribute resources among subsidiary banks. These results are consistent with the finding that soft information ...
Review , Volume 104 , Issue 3 , Pages 210-223

Journal Article
The Blockchain Revolution: Decoding Digital Currencies
Andolfatto, David; Martin, Fernando M. (2022-07-14)
Cryptocurrencies and decentralized finance have grown considerably since the publication of the white paper on bitcoin in 2009. This article presents an overview of cryptocurrencies, blockchain technology, and their applications, explaining the spirit of the enterprise and how it compares with traditional operations. We discuss money, digital money, and payments; cryptocurrencies, blockchain, and the double-spending problem of digital money; decentralized finance; and central bank digital currency.
Review , Volume 104 , Issue 3 , Pages 149-165

Working Paper
Bank Interventions and Options-based Systemic Risk: Evidence from the Global and Euro-area Crisis
Tian, Mary; Londono, Juan M. (2014-09-04)
Using a novel dataset on central bank interventions to financial institutions, we examine the impact of capital injection announcements on systemic risk for the banking sector in the U.S. and the euro area between 2008 and 2013. We propose a new measure of options-based systemic risk called downside correlation risk premium (DCRP), which quantifies the compensation investors demand for being exposed to the risk of large correlated drops in bank stock prices. DCRP is calculated using options that provide a hedge against large drops in the price of a bank index and its individual components. We ...
International Finance Discussion Papers , Paper 1117

Report
COVID Response: The Paycheck Protection Program Liquidity Facility
Volker, Desi (2021-09-01)
To bolster the effectiveness of the Small Business Administration’s Paycheck Protection Program (PPP), the Federal Reserve, with the backing of the Secretary of the Treasury, established the Paycheck Protection Program Liquidity Facility (PPPLF). The facility was intended to supply liquidity to financial institutions participating in the PPP and thereby provide relief to small businesses and help them maintain payroll. In this article, we lay out the background and rationale for the creation of the facility, cover the salient features of the PPP and the PPPLF, and analyze the facility’s ...
Staff Reports , Paper 978

Working Paper
Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle
Forbes, Kristin J.; Dilts Stedman, Karlye; Chari, Anusha (2021-12-17)
Evidence suggests that macroprudential policy has small and insignificant effects on the volume of portfolio flows. We show, however, that these minor effects mask very different relationships across the global financial cycle. A tighter ex-ante macroprudential stance amplifies the impact of global risk shocks on bond and equity flows—increasing outflows by significantly more during risk-off episodes and increasing inflows significantly more during risk on episodes. These amplification effects are more prominent at the “extremes,” especially for extreme risk-off periods, and are larger ...
Research Working Paper , Paper RWP 21-16

Working Paper
Did Doubling Reserve Requirements Cause the 1937-38 Recession? New Evidence on the Impact of Reserve Requirements on Bank Reserve Demand and Lending
Calomiris, Charles W.; Mason, Joseph R.; Wheelock, David C. (2023-03-17)
In 1936-37, the Federal Reserve doubled member banks' reserve requirements. Friedman and Schwartz (1963) famously argued that the doubling increased reserve demand and forced the money supply to contract, which they argued caused the recession of 1937-38. Using a new database on individual banks, we show that higher reserve requirements did not generally increase banks' reserve demand or contract lending because reserve requirements were not binding for most banks. Aggregate effects on credit supply from reserve requirement increases were therefore economically small and statistically zero.
Working Papers , Paper 2022-011

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