- 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
Category Archives: 1
ECB Publishes Book on the Payment System
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This Is From The Wall Street Journal
Anything wrong with the graph? Europe’s Bank Stress Tests Minimized Debt Risk Useful link ==> Videos, worksheets, stories and songs to help Grade 5 students (and WSJ journos) learn how to find the area of squares // Continue reading
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Momentum in Stock Market Returns: Implications for Risk Premia on Foreign Currencies
SNB Paper by Thomas Nitschka Abstract: Momentum in foreign stock market returns is exploitable as signal of currency excess returns. Past stock market winner currencies offer higher returns than past stock market loser currencies. This finding is unrelated to interest … Continue reading
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‘Equities are dead, long live bonds’ Is It Time to Scrap the Fusty Old P/E Ratio? Blogging And Mass Psychomanipulation How Malthus drove the Discovery Channel gunman crazy Central Bankers Explain Why Incompetence Should Be Rewarded Caught between Scylla and Charybdis? … Continue reading
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DTCC Posts 6-Month Market Activity Snapshot on CDS Market
Updated and Expanded Report Provides Greater Transparency and Depth for Assessing Market Liquidity This data informs market participants and regulators about trading volumes and the structure of the market to assist in their determination of which single reference entities might … Continue reading
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Default in Today’s Advanced Economies: Unnecessary, Undesirable, and Unlikely
Markets currently “significantly overestimate” the risk of sovereign debt default in the advanced economies, which is leading to higher risk premia on debt issuance. IMF position note ==> examines recent speculation among market participants and commentators that worsening public finances … Continue reading
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The Impact of Banks’ Cumulative Reserve Position on Federal Funds Rate Behavior
FRBNY paper by Spence Hilton and Warren B. Hrung Abstract: We analyze the impact that reserve levels accumulated through the preceding day in a reserve maintenance period have on the level of the federal funds rate each morning prior to … Continue reading
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A Wolf in Sheep’s Clothing
About reverse convertibles: Some investors were shocked to learn that the investments sold to them as safe alternatives to bank certificates of deposit or Treasury securities actually were highly complex structured products with significant amounts of downside risk. Full story: … Continue reading
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TBA Trading and Liquidity in the Agency MBS Market
FRBNY paper by James Vickery and Joshua Wright Abstract: Most mortgages in the United States are securitized through the agency mortgage-backed-securities (MBS) market. These securities are generally traded on a “to-be-announced,” or TBA, basis. This trading convention significantly improves agency … Continue reading
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Impact of High and Growing Government Debt on Economic Growth
ECB paper by Cristina Checherita, Philipp Rotherpe Abstract: This paper investigates the average impact of government debt on per-capita GDP growth in twelve euro area countries over a period of about 40 years starting in 1970. It finds a non-linear … Continue reading
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