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Journal Article
On the pervasive effects of Federal Reserve settlement regulations
To manage their reserve positions, depository institutions in the United States actively buy and sell deposits at the Federal Reserve Banks via the federal funds market. Beginning in 1991, the Eurodollar market also became an attractive venue for trading deposits at the Federal Reserve Banks. Prior to 1991, the Federal Reserve?s statutory reserve requirement on Eurocurrency liabilities of U.S. banking offices discouraged use of Eurocurrency liabilities as a vehicle for trading deposits at the Federal Reserve. This impediment was removed in December 1990. Beginning in January 1991, the ...
Working Paper
A generalized method for detecting abnormal returns and changes in systematic risk
The authors generalize traditional event-study techniques to allow for event-induced parameter shifts, shifting variances, and firm-specific event periods. Their method, which nests traditional methods, also permits systematic risk to change gradually during the event period and exit the period at higher or lower levels. The authors use their approach to study 132 banks that acquired other institutions between 1989 and 1995. The authors find a significant change in the systematic risk of the acquiring firms, significant ARCH effects, and an event period that ends before the date of the ...