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385
result(s)
Trading for Bailouts
Staff Working Paper 2020-23
Toni Ahnert,
Caio Machado,
Ana Elisa Pereira
In times of high uncertainty, governments often implement interventions such as bailouts to financial institutions. To use public resources efficiently and to avoid major spillovers to the rest of the economy, policy-makers try to identify which institutions should receive assistance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Lender of last resort
JEL Code(s):
D,
D8,
D83,
G,
G1,
G12,
G14,
G18
Trading on Long-term Information
Staff Working Paper 2020-20
Corey Garriott,
Ryan Riordan
Investors who trade based on good research are said to be the backbone of stock markets: They conduct research to discover the value of stocks and, through their trading, guide financial prices to reflect true value. What can make their job difficult is that high-speed, short-term traders could use machine learning and other technologies to infer when informed investors are trading.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
Canadian Financial Stress and Macroeconomic Conditions
Staff Discussion Paper 2020-4
Thibaut Duprey
Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Coronavirus disease (COVID-19),
Financial markets,
Financial stability,
Monetary and financial indicators
JEL Code(s):
C,
C3,
C32,
E,
E4,
E44,
G,
G0,
G01
A Simple Method for Extracting the Probability of Default from American Put Option Prices
Staff Working Paper 2020-15
Bo Young Chang,
Greg Orosi
A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G13,
G3,
G33
Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields
Staff Working Paper 2020-14
Guihai Zhao
This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G0,
G00,
G1,
G12
Optimal Taxation in Asset Markets with Adverse Selection
Staff Working Paper 2020-11
Mohammad Davoodalhosseini
What is the optimal tax schedule in over-the-counter markets, e.g., those for corporate bonds? I find that an optimal tax schedule is often non-monotonic. For example, trading of some high-price assets should be subsidized, and trading of some low-price assets should be taxed.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D8,
D82,
D83,
E,
E2,
E24,
G,
G1,
G10,
J,
J3,
J31,
J6,
J64
The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News
Staff Working Paper 2020-8
Ron Alquist,
Reinhard Ellwanger,
Jianjian Jin
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Recent economic and financial developments
JEL Code(s):
D,
D8,
D83,
E,
E4,
E44,
G,
G1,
G14,
G15,
Q,
Q4,
Q41,
Q43
Contagion in Dealer Networks
Staff Working Paper 2020-1
Jean-Sébastien Fontaine,
Adrian Walton
Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field
of research investigates how networks form.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
G,
G1,
G2,
G21,
L,
L1,
L14
Creations and Redemptions in Fixed-Income Exchange-Traded Funds: A Shift from Bonds to Cash
Staff Analytical Note 2019-34
Rohan Arora,
Sébastien Betermier,
Guillaume Ouellet Leblanc,
Adriano Palumbo,
Ryan Shotlander
The creation and redemption activity of fixed-income exchange-traded funds listed in the United States has shifted. Funds of established issuers have traditionally exchanged their shares for baskets of bonds. In contrast, young funds managed by new issuers tend to create and redeem their shares almost exclusively in cash. Cash transactions imply that new funds are taking on exposure to liquidity risk. This has implications for financial stability.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23