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作者：Hancock, Diana; Passmore, Wayne
作者单位：Federal Reserve System - USA
摘要：On November 25, 2008, the Federal Reserve announced it would purchase mortgage-backed securities (MBS). This program affected mortgage rates through three channels: (1) improved market functioning in both primary and secondary mortgage markets, (2) clearer government backing for Fannie Mae and Freddie Mac, and (3) anticipation of portfolio rebalancing effects. We use empirical pricing models for MBS yields and for mortgage rates to measure relative importance of channels: The first two were im...
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作者：Gai, Prasanna; Haldane, Andrew; Kapadia, Sujit
作者单位：Bank of England; University of Auckland
摘要：This paper develops a network model of interbank lending in which unsecured claims, repo activity and shocks to the haircuts applied to collateral assume centre stage. We show how systemic liquidity crises of the kind associated with the interbank market collapse of 2007-2008 can arise within such a framework, with funding contagion spreading widely through the web of interlinkages. Our model illustrates how greater complexity and concentration in the financial network may amplify this fragili...
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作者：Furfine, Craig H.
作者单位：Northwestern University
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作者：Bhamra, Harjoat S.; Fisher, Adlai J.; Kuehn, Lars-Alexander
作者单位：Carnegie Mellon University; University of British Columbia
摘要：When a corporation issues debt with a fixed nominal coupon, the real value of future payments decreases with the price level. Forward-looking corporate default decisions therefore depend on monetary policy through its impact on expected inflation. We build a general equilibrium economy with deadweight bankruptcy costs that demonstrates how nominal rigidities in corporate debt create an important role for monetary policy even in the absence of standard nominal frictions such as staggered price ...
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作者：Lo, Andrew W.
作者单位：Massachusetts Institute of Technology (MIT)
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作者：Acharya, Viral V.; Skeie, David
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research
摘要：Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank loans, reflected in one-month and three-month LIBOR. We explain such stress by modeling leveraged banks' precautionary demand for liquidity. Asset shocks impair a bank's ability to roll over debt because of agency problems associated with high leverage. In turn, banks hoard liquidity and decrease term lending as their rollover risk increases over the term of the loan. High levels of short-term ...
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作者：Ennis, Huberto M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond
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作者：Campbell, Sean; Covitz, Daniel; Nelson, William; Pence, Karen
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：In response to the near collapse of US securitization markets in 2008, the Federal Reserve created the Term Asset-Backed Securities Loan Facility, which offered nonrecourse loans to finance investors' purchases of certain highly rated asset-backed securities. We study the effects of this program and find that it lowered interest rate spreads for some categories of asset-backed securities but had little impact on the pricing of individual securities. These findings suggest that the program impr...
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作者：Gomes, Joao F.
作者单位：University of Pennsylvania; University of Pennsylvania
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作者：Sundaresan, Suresh
作者单位：Columbia University
