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92
result(s)
A Macroprudential Theory of Foreign Reserve Accumulation
Staff Working Paper 2019-43
Fernando Arce,
Julien Bengui,
Javier Bianchi
This paper proposes a theory of foreign reserves as macroprudential policy. We study an open-economy model of financial crises in which pecuniary externalities lead to overborrowing, and show that by accumulating international reserves, the government can achieve the constrained-efficient allocation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Balance of payments and components,
Financial stability,
Financial system regulation and policies,
Foreign reserves management,
International financial markets
JEL Code(s):
D,
D5,
D52,
D6,
D62,
F,
F3,
F34
Financial Frictions, Durable Goods and Monetary Policy
Staff Working Paper 2019-31
Ugochi Emenogu,
Leo Michelis
Financial frictions affect how much consumers spend on durable and non-durable goods. Borrowers can face both loan-to-value (LTV) constraints and payment-to-income (PTI) constraints.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial system regulation and policies,
Monetary policy
JEL Code(s):
E,
E4,
E44,
E5,
E52
Flight from Safety: How a Change to the Deposit Insurance Limit Affects Households’ Portfolio Allocation
Staff Working Paper 2019-29
H. Evren Damar,
Reint Gropp,
Adi Mordel
Deposit insurance protects depositors from failing banks, thus making insured deposits risk-free. When a deposit insurance limit is increased, some deposits that previously were uninsured become insured, thereby increasing the share of risk-free assets in households’ portfolios. This increase cannot simply be undone by households, because to invest in uninsured deposits, a household must first invest in insured deposits up to the limit. This basic insight is the starting point of the analysis in this paper.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
D,
D1,
D14,
G,
G2,
G21,
G28,
L,
L5,
L51
Macroprudential Policy with Capital Buffers
Staff Working Paper 2019-8
Josef Schroth
The countercyclical capital buffer is part of Basel III, the set of regulatory measures developed in response to the financial crisis of 2007–09. This study focuses on how time-varying capital buffers can address inefficiencies in economies with endogenous financial crises.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Credit risk management,
Financial stability,
Financial system regulation and policies,
Lender of last resort
JEL Code(s):
E,
E1,
E13,
E3,
E32,
E4,
E44
Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?
Staff Working Paper 2018-55
Toni Ahnert,
Kristin Forbes,
Christian Friedrich,
Dennis Reinhardt
Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial institutions,
Financial system regulation and policies,
International financial markets
JEL Code(s):
F,
F3,
F32,
F34,
G,
G1,
G15,
G2,
G21,
G28
Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests
Staff Working Paper 2018-54
Maarten van Oordt
How much capital do banks need as a buffer to absorb severe shocks? By using historical stock market data, market-based stress tests help estimate the magnitude of capital buffers necessary to absorb severe but plausible shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G2,
G21,
G28
Should Bank Capital Regulation Be Risk Sensitive?
Staff Working Paper 2018-48
Toni Ahnert,
James Chapman,
Carolyn A. Wilkins
We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays
Staff Working Paper 2018-16
Michael Brolley,
David Cimon
Latency delays—known as “speed bumps”—are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote “quote fading” by market makers. We construct a model of informed trading in a fragmented market, where one market operates a conventional order book and the other imposes a latency delay on market orders.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G18
High-Frequency Trading and Institutional Trading Costs
Staff Working Paper 2018-8
Marie Chen,
Corey Garriott
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1,
L10