- ECB Publishes Book on the Payment System
- This Is From The Wall Street Journal
- Momentum in Stock Market Returns: Implications for Risk Premia on Foreign Currencies
- Links
- DTCC Posts 6-Month Market Activity Snapshot on CDS Market
- Default in Today’s Advanced Economies: Unnecessary, Undesirable, and Unlikely
- The Impact of Banks’ Cumulative Reserve Position on Federal Funds Rate Behavior
- A Wolf in Sheep’s Clothing
- TBA Trading and Liquidity in the Agency MBS Market
- Impact of High and Growing Government Debt on Economic Growth
- Financial Amplification of Foreign Exchange Risk Premia
- The Central-Bank Balance Sheet as an Instrument of Monetary Policy
- Exorbitant Privilege and Exorbitant Duty
- The Information Value of the Stress Test and Bank Opacity
- Price of Risk—Recent Evidence from Large Financials
- Shadow Banking
- Summer Doldrums
- Credit Default Swaps: What Are the Social Benefits and Costs?
- The International Role of the Euro
- Chronicle of Currency Collapses: Re-Examining the Effects on Output
- The Paradox of Toil
- Links
- What the Fed Did and Why
- Markets and Government Before, During and After the 2007-20xx Crisis
- Detecting and Interpreting Financial Stress in the Euro Area
- Are We Building the Foundations for the Next Crisis Already? The Case of Central Clearing
- Links
- Links
- OIS Discounting
- Multimarket Trading and the Cost of Debt: Evidence from Global Bonds
- Is Economics Coursework, or Majoring in Economics, Associated with Different Civic Behaviors?
- China’s High Saving Rate: Myth and Reality
- Oil Spill
- Eurozone €440 Bln SPV Aid Fund
- ECB Financial Accounts and ECB Financial Strength
- Central Bank Swap Networks
- DTCC Posts CDS Market Activity Snapshot
- ECB: Financial Stability Review (June 2010)
- Global CDO Issuance by Transaction Structure
- Links
- TBAC Minutes: Sovereign CDS and Swap Spreads
- Goldman Sachs Underwriting Market Shares in Subprime RMBS and CDOs
- Abacus for Dummies
- The World’s Safest and Riskiest Sovereign Debt (Update)
- Increased Sovereign Risk Behind Negative Swap Spreads
- Haircuts
- Markets, Religion, Community Size, and the Evolution of Fairness and Punishment
- Beyond the Dollar: Rethinking the International Monetary System
- Links
- Amazing Discovery
- ABCP Outstanding: Still Crashing
- Greek Government Bond Market
- Links
- Sterling Today
- Sovereign Risk Jolts Markets
- Monthly Trading Volumes in Greek Government Bonds
- Eurostat Statement on Greece’s Use of Derivatives
- The Bank Lending Channel Revisited
- The Future of Public Debt
- Systemic Risk: How To Deal With It?
- Links
- Papers => FRBNY
- Links
- Scariest Chart EVER: Loss Severity, Subprime First-Lien
- Google CDS => AAA
- Empty Creditor Claim
- Links
- Quotes of the Day
- Fed’s MBS Program
- Variability in Nucleus Accumbens Activity Mediates Age-Related Suboptimal Financial Risk Taking
- Links
- Links
- Worth Reading
- Links
- Scorecard: Gross National Savings (% of GDP)
- Withdrawal and Expulsion from the EU and EMU: Some Reflections
- Review of the Differentiated Nature and Scope of Financial Regulation
- Link of the Day
- Summary of a Workshop on Recent Advances in Modelling Systemic Risk Using Network Analysis
- Link
- Links
- The Mechanics of a Graceful Exit: Interest on Reserves and Segmentation in the Federal Funds Market
- [Update] Why Are Banks Holding So Many Excess Reserves?
- Basel Committee: Consultative Proposals to Strengthen the Resilience of the Banking Sector
- The World’s Riskiest Sovereign Debt (Update)
- The World’s Safest Sovereign Debt (Update)
- Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk
- Sovereign and Bank Credit Risk Premia during 2008-09
- Macro Stress Tests and Crises: What Can We Learn?
- Dollar Appreciation in 2008: Safe Haven, Carry Trades, Dollar Shortage and Overhedging
- Interbank Offered Rate: Effects of the Financial Crisis on the Information Content of the Fixing
- Capital One TARP Warrants Net $146.5 Million
- Links
- The Fed’s Expanded Balance Sheet
- Links
- AIG Regulatory Capital CDS Transactions
- Links
- Links
- Bundesbank: Financial Stability Review 2009
- A Note on Trader Sharpe Ratios
Monthly Archives: October 2009
Links
An own goal in Brazil’s capital controls? Brazil’s real currency falls on capital inflow tax Infrastructure will boost CDSs Credit Derivatives Are Not ‘Insurance’ Derivatives Traders May Face Position Limits Under EU Proposal Galleon’s Traders Seek Legal Advice, Update Resumes … Continue reading
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Technical Analysis Around the World
Paper by Ben Marshall, Rochester Cahan and Jared Cahan Abstract: Technical analysis is not consistently profitable in the 49 countries that comprise the Morgan Stanley Capital Index once data snooping bias is accounted for. There is some evidence that technical … Continue reading
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Trading Book
Changes to the market risk framework will increase average trading book capital requirements by two to three times their current levels. BIS: Analysis of the trading book quantitative impact study // Continue reading
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Central Bank Network of Swap Lines
In “The US Dollar Shortage in Global Banking and the International Policy Response“ // Continue reading
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The US Dollar Shortage in Global Banking and the International Policy Response
Must read: BIS paper by Patrick McGuire and Goetz von Peter Abstract: Among the policy responses to the global financial crisis, the international provision of US dollars via central bank swap lines stands out. This paper studies the build-up of … Continue reading
Computational Complexity and Information Asymmetry in Financial Products
Paper by Sanjeev Arora , Boaz Barak, Markus Brunnermeier, and Rong Ge Traditional economics argues that financial derivatives, like CDOs and CDSs, ameliorate the negative costs imposed by asymmetric information. This is because securitization via derivatives allows the informed party … Continue reading
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Links
“Financial institutions are socialist bastions” NYSE: No need to restrict high frequency trades The rumours of the dollar’s death are much exaggerated Mr QE speaks to the FT Time to Hire Bernard Madoff to Run U.S. Treasury Some Lessons from … Continue reading
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Is Network Theory the Best Hope for Regulating Systemic Risk?
Presentation via Kimmo Soramaki, ECB workshop on “Recent advances in modelling systemic risk using network analysis“ Related: Federal funds market. Largest participants in the center, large value links: yellow, small in red. In The Topology of the Federal Funds … Continue reading
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The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel
To Elinor Ostrom “for her analysis of economic governance, especially the commons” and Oliver E. Williamson “for his analysis of economic governance, especially the boundaries of the firm” more here // Continue reading
Fluctuation in Haircuts => Fluctuations in Balance Sheet Quantities
This is a plot of the sum of financial sector commercial paper (CP) and primary dealer repos, as a fraction of M2. Financial CP is primarily used to finance the activities of the “market based banking system” (sometimes called the … Continue reading