Model Shows Network Density Affects Derivatives Trade Costs
In OTC markets, dealers facilitate trade by providing liquidity. This paper presents a model and empirical results that link dealers’ relationships to liquidity.
View ArticleIntermediation Networks and Derivative Market Liquidity: Evidence from CDS...
A model and empirical tests show that the density of the intermediation network impacts dealer-provided liquidity and affects the cost of trade differentially (Working Paper no. 24-01).
View ArticleThe Uneven Distribution of Climate Risks and Discounts
This brief documents the uneven distribution of climate risk and risk pricing in real estate at the property-level (Brief no. 24-01).
View ArticleThe Value of Lending Relationships
In this paper, the authors estimate, for the first time, the economic value of lenders’ relationships to borrowers. (Working Paper no. 24-02).
View ArticleLenders Value Borrower Relationships
Lenders decide whether to enforce upon borrower breach of covenants. These decisions imply that lenders value borrower relationships at 11% of loan principal.
View ArticleOFR Congratulates CFTC and SEC on Initiation of Reporting on UPI for OTC...
The UPI became a required data element under SEC and CFTC rules for recordkeeping and data reporting for all new and existing OTC derivatives swap transactions.
View Article2024 Rising Scholars Conference: The Future of Financial Stability
High-quality theoretical and empirical paper presentations of young scholars on the future of financial stability.
View Article2024 Rising Scholars Conference Announcement
The OFR and the Review of Corporate Finance Studies will host the annual Rising Scholars Conference on May 3, 2024, in Washington, D.C.
View ArticleU.S. Money Market Funds Reach $6.4 Trillion at End of 2023
U.S. money market funds, an important source of short-term funding to the financial system, saw record inflows and aggregate net assets in 2023.
View ArticleLiquidity Coverage Ratios of Large U.S. Banks During and After the COVID-19...
This brief reviews components of large U.S. bank Liquidity Coverage Ratios since 2017, with emphasis on the effects of the market turbulence in early 2020 (Brief no. 24-02).
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