Research Papers On Finance

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The paper analyzes nearly 4,000 stocks in 15 countries.

It concludes that stock returns tend to move together within regions — but not across them — in times of stability, but move in sync globally in times of crisis. 16-09) A new securities lending survey sheds light on these transactions that help underpin smooth-functioning capital markets.

The authors find negative sentiment extracted from tens of thousands of news articles about 50 large financial services companies is useful in forecasting volatility in the stock market.

The method, which also considers the "unusualness" of news, may help anticipate stress in the financial system. 16-04) This working paper examines how a bailout orchestrated by New York Clearinghouse member banks stopped financial contagion during the Panic of 1884.

Customers appear to be trading more with non-bank dealers, who are exempt from the Volcker rule but also cannot borrow at the Federal Reserve's discount window. 19-02) This paper examines whether liquidity deteriorated in the single-name credit default swaps market due to regulatory reforms after the 2007-09 financial crisis.

It finds evidence of both increased spreads and lower volumes, consistent with the reforms increasing the cost of market-making for bank-dealers.It shows how mutual funds can best design swing pricing for effectiveness at preventing runs, even under extreme market stress. 18-04) This paper studies the role of learning and reputation in economic networks, such as interbank lending and derivatives trading networks, in times of market distress or financial crisis.The model demonstrates the importance of maintaining firm anonymity and identifies network structures that offer increased resilience. 18-03) This paper assesses whether compensation plans can drive excessive risk-taking.Views and opinions expressed are those of the authors and do not necessarily represent official positions or policy of the OFR or Treasury.This paper examines the impact of the Volcker rule, which bans proprietary trading by commercial banks and their affiliates, with some exceptions.Tests of the model against actual bank failures before, during, and after the 2007-09 financial crisis suggest that the market has become more resilient to asset write-downs and liquidity shocks. This risk emerges through the inability of CDS counterparties to make payments during systemic stress. bank holding companies now borrow less in the repo market overall after the change, but a larger percentage of the borrowing is backed by more risky collateral. 16-11) This paper assesses the likelihood of European government support in distressed banks.The model uses balance sheet data from more than 6,600 U. The authors find that the central counterparty contributes significantly less to network contagion than do several peripheral firms that are large net sellers of CDS protection. 16-12) This paper examines how risk-taking in the repurchase agreement, or repo, market changed after regulators introduced the supplementary leverage ratio for banks. To measure market expectations of these events, the authors study the credit spread between old credit default swap contracts and new ones with a definition of default linked to government intervention. 16-10) This working paper shows how network analysis can facilitate the monitoring of movements by stocks in the global financial system over time.It also finds that transaction prices between dealers and clients have become more dependent on the inventories of individual dealers as interdealer trade has declined. 19-01) This paper examines the impact of double liability on bank risks and depositor safety before and during the Great Depression.Under double liability, shareholders of failing banks lost their initial investments and had to pay up to the par value of their stock to compensate depositors.The paper finds that double liability did not reduce bank risk before the Great Depression, but that deposits were less susceptible to runs. 18-06) This paper uses a model of trade in over-the-counter markets to assess the impact of trade frictions, why prices may vary across intermediaries and customers, and the financial stability implications from the price impact of a dealer’s failure.Proprietary credit default swap data are used to estimate the model. 18-05) This paper develops a model of a downward spiral of falling prices and increasing redemptions that can lead to the failure of a mutual fund.

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