What determined the corporate use of credit lines in the recent financial crisis? To address this question this paper hand-collects data on credit lines and interest rate hedging for a random sample of 600 COMPUSTAT firms. The authors document that drawdowns of credit lines had already increased in 2007, earlier than what previous [...]
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Posted on May 20th, 2012
Posted on May 13th, 2012
Because they engage in maturity transformation, a steepening of the yield curve should, all else equal, boost bank profitability. This paper re-examines this conventional wisdom by estimating the reaction of bank intraday stock returns to exogenous fluctuations in interest rates induced by monetary policy announcements. The authors construct a new measure of the [...] Posted on May 9th, 2012
This paper examines the link between the federal funds and repo markets, before, during, and emerging from the financial crisis that began in August 2007. In particular, the paper investigates the initial transmission of monetary policy to closely related money markets, pricing of risk, and liquidity effects, and then shows how these could [...] Posted on May 8th, 2012
This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic activity. We construct monthly measures of aggregated and industry-level stock volatility, and bond market volatility from daily returns. We model log financial volatility as composed of a long-run component that is common across all series, and a [...] Posted on May 6th, 2012
In this speech, Governor Tarullo reviews briefly the vulnerabilities in the financial system that contributed to the crisis and compel regulatory response, to outline some key reforms adopted to date, and to identify important tasks that remain. 28 pages
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