Antonio Falato, Diana Iercosan, and Filip Zikes | This paper uses detailed high-frequency regulatory data to evaluate whether trading increases or decreases systemic risk in the U.S. banking sector. We estimate the sensitivity of weekly bank trading ne...
This paper presents a first analysis of the experience to date with the global systemically important bank (G-SIB) framework, the methodology for assessing the systemic importance of G-SIBs. Several issues are examined. First, we investigate whether G-...
Edward Nelson | Although he was based in the United States, leading monetarist Karl Brunner participated in debates in the United Kingdom on monetary analysis and policy from the 1960s to the 1980s. During the 1960s, his participation in the debates wa...
Edward Nelson | Although he was based in the United States, leading monetarist Karl Brunner participated in debates in the United Kingdom on monetary analysis and policy from the 1960s to the 1980s. During the 1960s, his participation in the debates wa...
Hess Chung, Etienne Gagnon, Taisuke Nakata, Matthias Paustian, Bernd Schlusche, James Trevino, Diego Vilán, and Wei Zheng | We simulate the FRB/US model and a number of statistical models to quantify some of the risks stemming from the effective...
Hess Chung, Etienne Gagnon, Taisuke Nakata, Matthias Paustian, Bernd Schlusche, James Trevino, Diego Vilán, and Wei Zheng | We simulate the FRB/US model and a number of statistical models to quantify some of the risks stemming from the effective...
Travis J. Berge, Andrew C. Chang, and Nitish R. Sinha | We propose a framework to evaluate the conditionality of forecasts. The crux of our framework is the observation that a forecast is conditional if revisions to the conditioning factor are faithful...
Edward Nelson | This analysis of Allan Meltzer’s analytical framework focuses on the role that Meltzer assigned to the monetary base. For many years, Meltzer suggested that central banks should use the monetary base as their policy instrument, in place...
R. Matthew Darst and Ehraz Refayet | This paper studies optimal debt maturity when firms cannot issue state contingent claims and must back promises with collateral. We establish a trade-off between long-term borrowing costs and short-term rollover cos...
The Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) closely monitors the implementation of the Principles for financial market infrastructures (PFMI). This report present...