292 posts on "Financial Markets"
May 13, 2015
Financial Innovation: Evolution of the Tri‑Party Repo Arrangement
In our earlier post, we described how the tri-party repo arrangement was a clever way to reduce the costs and risks that individual firms faced when settling bilateral repos.
May 11, 2015
Financial Innovation: The Origins of the Tri‑Party Repo Market
The conventional wisdom about financial innovation is that it is typically undertaken as a way to increase profits.
April 15, 2015
Please Read This before Betting against Government Bond Betas
Mounting evidence says that “low-risk” investing delivers superior returns, comparable to strategies based on value, size, and momentum.
April 8, 2015
The FR 2420 Data Collection: A New Base for the Fed Funds Rate
On April 1, 2014, the Federal Reserve began collecting transaction-level data on federal funds, Eurodollars, and certificates of deposits from a large set of domestic banks and agencies of foreign banks operating in the United States. Previously, the Fed had only received fed funds and Eurodollar data from major brokers, and not directly from the banks borrowing in these markets. These new data, collected on form FR 2420, have helped the Fed better understand activity in the fed funds and Eurodollar markets. In this post, we focus on the new data on fed funds, in light of the Federal Reserve Bank of New York’s Trading Desk announcement that it plans to use these data to calculate and publish the fed funds effective rate.
From the Vault: Separating News and Noise … and Jokes
Tesla Motors’ shares saw a brief bounce from a far-out and fictional product (a smart watch) announced as part of an April fool’s prank. While markets evidently made quick sense of the joke, that’s not always the case.
Posted at 12:40 pm in Financial Markets | Permalink
March 30, 2015
The Effects of Entering and Exiting a Credit Default Swap Index
Since their inception in 2002, credit default swap (CDS) indexes have gained tremendous popularity and become leading barometers of the credit market.
March 11, 2015
From the Vault: It’s CCAR Season
Ahead of the Federal Reserve’s release on Wednesday of 2015 bank stress tests results, we’ve seen a spike in traffic to a piece in our archive that offers a primer on the annual Comprehensive Capital Analysis and Review (CCAR) process and background on its role as a tool in the Fed’s bank supervisory arsenal.
Posted at 7:00 am in Financial Markets | Permalink
March 9, 2015
Herd Behavior in Financial Markets
Over the last twenty-five years, there has been a lot of interest in herd behavior in financial markets—that is, a trader’s decision to disregard his or her private information to follow the behavior of the crowd.
February 9, 2015
Counterparty Risk in Material Supply Contracts
Forming long-term partnerships with customers and suppliers often creates a competitive advantage for firms because it permits resource sharing, eases financial constraints, and encourages investment in relationship-specific capital.
December 22, 2014
Is There a Future for Credit Default Swap Futures?
Or Shachar Last year, IntercontinentalExchange (ICE) launched a credit default swap index futures contract. In the first two weeks there were spurts of interest in it, but soon it became evident that the new product was unable to generate sufficient demand. Given their short life span in the credit default swaps (CDS) market, the question […]
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