23 posts on "Asani Sarkar"
July 17, 2020
MBS Market Dysfunctions in the Time of COVID‑19
Haoyang Liu, Asani Sarkar, and coauthors study a particular aspect of MBS market disruptions by showing how a long-standing relationship between cash and forward markets broke down, in spite of dealers increasing the provision of liquidity. The analysis also highlights an innovative response by the Federal Reserve that seemed to have helped to normalize market functioning.
Posted at 7:00 am in Financial Institutions, Financial Markets, Liquidity, Pandemic | Permalink | Comments (2)
April 15, 2020
The COVID‑19 Pandemic and the Fed’s Response
In this post, the authors review the Fed’s action following the coronavirus outbreak, and compare it with the response to the 2007-09 financial crisis.
January 17, 2019
The Indirect Costs of Lehman’s Bankruptcy
In our previous post, we assessed losses to customers and clients from foregone opportunities after Lehman Brothers filed for bankruptcy in September 2008. In this post, we examine losses to Lehman and its investors in anticipation of bankruptcy. For example, if bankruptcy is expected, Lehman’s earnings may decline as customers close their accounts or certain securities (such as derivatives) to which Lehman is a counterparty may lose value. We estimate these losses by analyzing Lehman’s earnings and stock, bond, and credit default swap (CDS) prices.
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