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Posted on January 13th, 2013
American consumers are using debit cards more than ever before, triggering key changes in the payment card industry and affecting how banks and merchants do business. Controversy has arisen as the industry raised the fees it charges on merchants for debit transaction processing—fees that merchants may pass on to consumers, affecting the [...] Posted on January 7th, 2013
This paper explores the roles played by reference rates in business cycle fluctuations using a medium-scale full-fledged dynamic stochastic general equilibrium (DSGE) model. This model is an extended model of chained-credit-contract model developed by Hirakata, Sudo, and Ueda (2011) estimated by the Japanese data. In the economy, there are interbank as well as [...] Posted on December 17th, 2012
The traditional carry trade has historically been highly profitable, but suffered from crash risk, the proverbial “up by the stairs and down by the elevator.” This crash risk was realized in dramatic fashion in the wake of the Lehman bankruptcy, when an investor who was long the Australian dollar and short the yen [...] Posted on December 17th, 2012
The ICMA notes that on 8 November the consultative paper “Strengthening LIBOR – proposal to implement recommendation number 6 of The Wheatley Review of LIBOR” was published; and that this consultation outlines the British Bankers’ Association (BBA’s) proposed timescale for a phased discontinuation of certain LIBOR currencies and maturities in line with the sixth recommendation [...] Posted on December 17th, 2012
The authors of this paper distinguish exogenous liquidity, which corresponds to the variability of bid-ask spreads for usual-sized transactions, from endogenous liquidity, which they interpret as the impact of liquidity on market prices when liquidating larger positions. Endogenous liquidity measures the risk that the realized price of a transaction may be different from [...] 125 pages
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