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292 posts on "Financial Markets"
October 5, 2016

Why Did the Recent Oil Price Declines Affect Bond Prices of Non‑Energy Companies?

Oil prices plunged 65 percent between July 2014 and December of the following year. During this period, the yield spread—the yield of a corporate bond minus the yield of a Treasury bond of the same maturity—of energy companies shot up, indicating increased credit risk. Surprisingly, the yield spread of non‑energy firms also rose even though many non‑energy firms might be expected to benefit from lower energy‑related costs. In this blog post, we examine this counterintuitive result. We find evidence of a liquidity spillover, whereby the bonds of more liquid non‑energy firms had to be sold to satisfy investors who withdrew from bond funds in response to falling energy prices.

August 17, 2016

A Closer Look at the Federal Reserve’s Securities Lending Program

The Federal Reserve lends specific Treasury and agency debt securities held in its System Open Market Account (SOMA)—and accepts general Treasury securities as collateral—through its daily securities lending program

Posted at 7:00 am in Financial Markets | Permalink | Comments (2)
July 18, 2016

Forecasting Interest Rates over the Long Run

In a previous post, we showed how market rates on U.S. Treasuries violate the expectations hypothesis because of time-varying risk premia.

June 29, 2016

Monetary Policy Transmission before and after the Crisis

The Federal Open Market Committee implements monetary policy by raising or lowering its target for the federal funds rate, the interest rate banks charge each other for overnight loans.

June 1, 2016

Revisiting the Case for International Policy Coordination

Prompted by the U.S. financial crisis and subsequent global recession, policymakers in advanced economies slashed interest rates dramatically, hitting the zero lower bound (ZLB), and then implemented unconventional policies such as large-scale asset purchases. In emerging economies, however, the policy response was more subdued since they were less affected by the financial crisis. As a result, capital flows from advanced to emerging economies increased markedly in response to widening interest rate differentials. Some emerging economies reacted by adopting measures to slow down capital inflows, acting under the presumption that these flows were harmful. This type of policy response has reignited the debate over how to moderate international spillovers.

May 5, 2016

Borrowing, Lending, and Swapping Collateral in GCF Repo®

By Marco Cipriani and Adam Copeland In the third post in this series, we examined GCF Repo® traders’ end-of-day strategies. In this final post, we further our understanding of dealers’ behavior by looking at their trading pattern within the day.

May 4, 2016

Why Dealers Trade in GCF Repo®

Analysis using confidential market data shows that the majority of individual dealers follow consistent strategies in GCF Repo, where dealers are net borrowers or lenders on almost every day that they are active.

May 3, 2016

Understanding the Interbank GCF Repo® Market

In this post, we provide a different perspective on the General Collateral Finance (GCF) Repo® market.

Posted at 7:05 am in Financial Markets, Repo | Permalink
May 2, 2016

Lower Oil Prices and U.S. Economic Activity

After a period of stability, oil prices started to decline in mid-2015, and this downward trend continued into early 2016.

What’s Up with GCF Repo®?

In a recent Important Notice, the Fixed Income Clearing Corporation (FICC) announced that it would no longer support interbank trading for its General Collateral Finance Repo Service.

Posted at 7:00 am in Financial Markets | Permalink | Comments (2)
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Liberty Street Economics features insight and analysis from New York Fed economists working at the intersection of research and policy. Launched in 2011, the blog takes its name from the Bank’s headquarters at 33 Liberty Street in Manhattan’s Financial District.

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