Treasury yields can be decomposed into two components: expectations of the future path of short-term Treasury yields and the Treasury term premium.
Look for our next post on March 20.
May 12, 2014
May 9, 2014
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 21, 2014
Introduction to the Floating‑Rate Note Treasury Security
Ezechiel Copic, Luis Gonzalez, Caitlin Gorback, Blake Gwinn, and Ernst Schaumburg Introduction The U.S. Department of the Treasury (Treasury) auctioned its first floating-rate note (FRN) on January 29, 2014. With this auction, Treasury introduced the first new marketable debt instrument since Treasury inflation-protected securities (TIPS) in 1997. The new two-year FRN is a fixed-principal security with […]
April 18, 2014
How Liquidity Standards Can Improve Lending of Last Resort Policies
Prior to the Great Recession, the focus of bank regulation was on bank capital with little consensus about the need for liquidity regulation.
Posted at 7:00 am in Financial Institutions, Lender of Last Resort, Liquidity, Regulation | 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 16, 2014
Just Released: April Surveys Find Businesses Face Increasing Difficulty Retaining Skilled Workers
The Federal Reserve Bank of New York’s monthly business surveys include special supplementary questions on topics of interest.
The Liquidity Stress Ratio: Measuring Liquidity Mismatch on Banks’ Balance Sheets
Liquidity transformation—funding longer-term assets with short-term liabilities—is one of the main functions that banks provide. However, this liquidity mismatch exposes banks to liquidity risk.
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