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作者：An, Yu; Song, Zhaogang
作者单位：Johns Hopkins University
摘要：Many of the Federal Reserve's (the Fed's) monetary policy operations involve trading with primary dealers. We find that, for agency MBS, dealers charge 2.5 cents (per $100 face value) higher selling to the Fed than to non-Fed customers. Controlling for the same dealer, same security, and same trading time, this discriminatory pricing likely arises from dealers' market power rather than inventory costs. Further, matching trade size reduces the price differential by more than half, implying that...
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作者：Indarte, Sasha
作者单位：University of Pennsylvania
摘要：How does creditor health affect the pass-through of monetary policy to households? Using data on the universe of U.S. credit unions, I document that creditor asset losses increase the sensitivity of consumer credit to monetary policy. Identification exploits plausibly exogenous variation in asset losses and high-frequency identification of monetary policy shocks. Weaker lenders can respond more if they face financial frictions that easing alleviates. The estimates imply constraints on monetary...
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作者：Jiang, Erica Xuewei
作者单位：University of Southern California
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作者：Chava, Sudheer; Ganduri, Rohan; Paradkar, Nikhil; Zeng, Linghang
作者单位：University System of Georgia; Georgia Institute of Technology; Emory University; University System of Georgia; University of Georgia; Babson College
摘要：Using the near universe of U.S. consumer credit cards, we show that banks transmit their wholesale funding shocks to consumers by reducing their credit card limits. Credit-constrained consumers who are unable to hedge against the transmitted shock by accessing other credit cards experience a stronger and more persistent reduction in aggregate credit card limits at the consumer level. Consequently, these credit-constrained consumers reduce their aggregate credit card borrowing. Our results docu...
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作者：Ballensiefen, Benedikt; Ranaldo, Angelo; Winterberg, Hannah
作者单位：University of St Gallen; The World Bank; Swiss Finance Institute (SFI)
摘要：A repurchase agreement (repo) is a source of cash and collateral. We document that the money market is more segmented when the collateral motive prevails. Two crucial aspects of the central bank framework lead to this disconnect: banks' access to the central bank's deposit facility and assets' eligibility for quantitative easing (QE). We show that repo rates lent by banks with access to the deposit facility and secured by QE eligible assets are more collateral-driven and disconnected from fund...
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作者：Agarwal, Sumit; Hadzic, Muris; Song, Changcheng; Yildirim, Yildiray
作者单位：National University of Singapore; Singapore Management University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Using account-level credit card data from a large Turkish bank, we study the impact of a unique credit card policy that increases minimum payment on consumption and debt repayment. We show that the policy reduces credit card spending and debt, boosts existing debt repayment, and reduces credit card delinquency. The credit card debt of affected consumers falls on average by 50$\%$ two years into the policy's implementation. An increase in minimum payment has a stronger effect than does a decrea...
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作者：Greenwood, Robin; Laarits, Toomas; Wurgler, Jeffrey
作者单位：Harvard University; National Bureau of Economic Research
摘要：We study the stock market effects of the arrival of the three rounds of stimulus checks to U.S. taxpayers and the single round of direct payments to Hong Kong citizens. The first two rounds of U.S. checks appear to have increased retail buying and share prices of retail-dominated portfolios. The Hong Kong payments increased overall turnover and share prices on the Hong Kong Stock Exchange. We cannot rule out that these price effects were permanent. The findings raise novel questions about the ...
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作者：Jahan-Parvar, Mohammad R.; Zikes, Filip
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We present evidence that several popular low-frequency measures of effective spread suffer from a volatility-induced bias and that volatility is the primary driver of the variation of these liquidity proxies. Using data for U.S. equities and major foreign exchange rates, we show that the bias arises when the effective spread is small relative to volatility. We document that the bias has become more acute over time and show that volatility-biased measures fail to replicate some well-known resul...
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作者：Bacchetta, Philippe; Tieche, Simon; van Wincoop, Eric
作者单位：University of Lausanne; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Virginia; National Bureau of Economic Research; National Bureau of Economic Research
摘要：Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month and the buy-and-hold portfolio shares, and a present discounted value of expected excess returns. We estimate expected return differentials and use them in the portfolio regressions. The estimates imply significant portfolio frictions and a mo...
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作者：Tzur-Ilan, Nitzan
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：This study provides novel evidence regarding the effects of loan-to-value (LTV) limits on housing choices. Using a detailed loan-level dataset, I exploit the introduction of LTV limits in Israel. I find that the LTV limits led borrowers to choose housing units that were more affordable, farther from the central business district, and in lower socioeconomic neighborhoods. Additionally, these LTV limits increase interest rates and decrease loan amounts. The findings of this study indicate that m...
