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Discussion Paper
How Has Treasury Market Liquidity Evolved in 2023?
Fleming, Michael J. (2023-10-17)
In a 2022 post, we showed how liquidity conditions in the U.S. Treasury securities market had worsened as supply disruptions, high inflation, and geopolitical conflict increased uncertainty about the expected path of interest rates. In this post, we revisit some commonly used metrics to assess how market liquidity has evolved since. We find that liquidity worsened abruptly In March 2023 after the failures of Silicon Valley Bank and Signature Bank, but then quickly improved to levels close to those of the preceding year. As in 2022, liquidity in 2023 continues to closely track the level that ...
Liberty Street Economics , Paper 20231017

Working Paper
Mind Your Language: Market Responses to Central Bank Speeches
Ahrens, Maximilian; Erdemlioglu, Deniz; McMahon, Michael; Neely, Christopher J.; Yang, Xiye (2023-05-31)
Researchers have carefully studied post-meeting central bank communication and have found that it often moves markets, but they have paid less attention to the more frequent central bankers’ speeches. We create a novel dataset of US Federal Reserve speeches and use supervised multimodal natural language processing methods to identify how monetary policy news affect financial volatility and tail risk through implied changes in forecasts of GDP, inflation, and unemployment. We find that news in central bankers’ speeches can help explain volatility and tail risk in both equity and bond ...
Working Papers , Paper 2023-013

Working Paper
An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications
Abruzzo, Nicole; Park, Yang-Ho (2014-09-02)
Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality, leading to a build-up of excess leverage in good times and a forced deleverage in bad times. Second, competition among central counterparties (CCPs) can result in lower margin levels in order to attract more trading volume, which is referred to as a "race to the bottom." Motivated by these issues, we empirically analyze the determinants of margin changes by using a data set of various futures margins from Chicago Mercantile Exchange (CME) Group. We first find that CME Group ...
Finance and Economics Discussion Series , Paper 2014-86

Working Paper
Diamond-Dybvig and Beyond: On the Instability of Banking
Gu, Chao; Monnet, Cyril; Nosal, Ed; Wright, Randall (2023-02-13)
Are financial intermediaries—in particular, banks—inherently unstable or fragile, and if so, why? We address this question theoretically by analyzing whether model economies with financial intermediation are more prone than those without it to multiple, cyclic, or stochastic equilibria. We consider several formalizations: insurance-based banking, models with reputational considerations, those with fixed costs and delegated investment, and those where bank liabilities serve as payment instruments. Importantly for the issue at hand, in each case banking arrangements arise endogenously. ...
FRB Atlanta Working Paper , Paper 2023-02

Working Paper
Reforming Fiscal Institutions in Resource-Rich Arab Economies: Policy Proposals
Selim, Hoda; Nugent, Jeffrey B.; Mohaddes, Kamiar (2018-09-04)
This paper traces the evolution of fiscal institutions of Resource-Rich Arab Economies (RRAEs) over time since their pre-oil days, through the discovery of oil to their build-up of oil exports. It then identifies challenges faced by RRAEs and variations in their severity among the different countries over time. Finally, it articulates specific policy reforms, which, if implemented successfully, could help to overcome these challenges. In some cases, however, these policy proposals may give rise to important trade-offs that will have to be evaluated carefully in individual cases.
Globalization Institute Working Papers , Paper 346

Speech
Global Liquidity: Drivers, Volatility and Toolkits
Goldberg, Linda S. (2022-11-10)
Remarks at the International Monetary Fund, 23rd Jacques Polak Annual Research Conference.
Speech

Speech
Transcript of the Cornell College of Business Annual New York City Predictions Event: February 15, 2017
Dudley, William (2017-02-15)
Transcript of the Cornell College of Business Annual New York City Predictions Event: February 15, 2017.
Speech , Paper 233

Speech
Dinner address for the Bank of England-Federal Reserve Bank of New York Conference on Money Markets and Monetary Policy Implementation
Potter, Simon M. (2015-11-16)
Remarks at the Bank of England-Federal Reserve Bank of New York Conference on Money Markets and Monetary Policy Implementation, London, United Kingdom.
Speech , Paper 186

Discussion Paper
Risk Aversion, Global Asset Prices, and Fed Tightening Signals
Groen, Jan J. J.; Peck, Richard (2014-03-05)
The global sell-off last May of emerging market equities and currencies of countries with high interest rates (“carry-trade” currencies) has been attributed to changes in the outlook for U.S. monetary policy, since the sell-off took place immediately following Chairman Bernanke’s May 22 comments concerning the future of the Fed’s asset purchase programs. In this post, we look back at global asset market developments over the past summer, and measure how changes in global risk aversion affected the values of carry-trade currencies and emerging market equities between May and September ...
Liberty Street Economics , Paper 20140305

Briefing
How Female Labor Supply Shapes Aggregate Labor Market Dynamics
Karabarbounis, Marios (2024-02)
In this article, we detail key aspects of female labor supply and how it shapes aggregate labor market dynamics. We start by documenting several important features of female labor supply including labor market participation, business cycle volatility, responsiveness to the underlying economic environment and its role for insurance within the household. For this article, we relied on Michele Tertilt and Matthias Doepke's excellent survey "Families in Macroeconomics."
Richmond Fed Economic Brief , Volume 24 , Issue 04

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