299 posts on "Financial Markets"
June 25, 2014
Do Currency Forwards Say Anything about the Future Value of the U.S. Dollar?
J. Benson Durham Currency forwards do include useful information about the future value of the U.S. dollar, but any messages are hard to decipher without tools. Just as the yield curve reflects expected short rates as well as term premiums, foreign exchange forwards embed not only anticipated depreciation but also premiums for currency risk. This […]
June 9, 2014
What’s Your WAM? Taking Stock of Dealers’ Funding Durability
One of the lessons from the recent financial crisis is the need for securities dealers to have durable sources of funding.
June 2, 2014
Do Expected, in addition to Spot, U.S. Treasury Term Premiums Matter?
J. Benson Durham The spot term premium is the extra compensation investors require, today, to own long-term as opposed to short-term risk-free debt. The expected term premium is what they anticipate demanding later. Notably, the two don’t necessarily move in the same direction. Just as near-term expected short rates could decline with surprisingly easy monetary […]
May 14, 2014
When Are Equity Investors Paid to Take Risk?
Most gauges of “the” equity risk premium have declined since the financial crisis but remain elevated, even as broad market indexes near record highs.
May 12, 2014
Treasury Term Premia: 1961‑Present
Treasury yields can be decomposed into two components: expectations of the future path of short-term Treasury yields and the Treasury term premium.
May 7, 2014
Can Investors Use Momentum to Beat the U.S. Treasury Market?
Decades of research have produced a library on the “momentum” anomaly in markets. Momentum refers to the tendency for financial assets with the best prior returns to continue to outperform, at least for a time.
May 5, 2014
No Good Deals—No Bad Models
The recent financial crisis has highlighted the significance of unhedgable, illiquid positions in complex securities for individual financial institutions and for the global financial system as a whole.
Posted at 7:00 am in Financial Markets | Permalink
April 17, 2014
Just Released: The 2013 SOMA Annual Report in a Historical Context
Alyssa Cambron, Michael Fleming, Deborah Leonard, Grant Long, and Julie Remache In August 2013, we wrote a series of blog posts on the use of the Federal Reserve’s System Open Market Account (SOMA) portfolio in monetary policy operations. Since the onset of the financial crisis, the Federal Open Market Committee (FOMC) has increased the size […]
Liquidity Policies and Systemic Risk
One of the most innovative and potentially far-reaching consequences of regulatory reform since the financial crisis has been the development of liquidity regulations for the banking system.
Posted at 7:00 am in Financial Institutions, Financial Markets, Liquidity, Regulation, Systemic Risk | Permalink
April 15, 2014
On Fire‑Sale Externalities, TARP Was Close to Optimal
Imagine that many large and levered banks suffer heavy losses and must quickly sell assets to reduce their leverage. We expect the market price of the assets sold to decline, at least temporarily.
RSS Feed
Follow Liberty Street Economics
