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2022

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Articles 301 - 304 of 304

Full-Text Articles in Finance

Treasury Inconvenience Yields During The Covid-19 Crisis, Zhiguo He, Stefan Nagel, Zhaogang Song Jan 2022

Treasury Inconvenience Yields During The Covid-19 Crisis, Zhiguo He, Stefan Nagel, Zhaogang Song

Research Collection Lee Kong Chian School Of Business

In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status of US Treasuries may be eroding. We document large shifts in Treasury ownership and temporary accumulation of Treasury and reverse repo positions on dealer balance sheets during this period. We build a dynamic equilibrium asset pricing model in which dealers subject to regulatory balance sheet constraints intermediate demand/supply shocks from habitat agents and provide repo financing to levered investors. The model predicts that Treasury inconvenience yields, measured as the spread between Treasuries and overnight-index …

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Climate Change And Sustainability In Asean Countries, David K. Ding, Sarah E. Beh Jan 2022

Climate Change And Sustainability In Asean Countries, David K. Ding, Sarah E. Beh

Research Collection Lee Kong Chian School Of Business

The ASEAN region is one of the most susceptible regions to climate change, with three of its countries—Myanmar, the Philippines, and Thailand—among those that have suffered the greatest fatalities and economic losses because of climate-related disasters. This paper reveals that the ASEAN’s environmental performance is sorely lagging other regions despite evidence of its cohesive and comprehensive efforts to mitigate emissions and build up adaptive capacity to climate-related disasters. Within the ASEAN, there exist gaps in environmental performance between each country. This suggests that increased cooperation between individual ASEAN countries is pertinent for the region to collectively combat climate change. In …

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Modeling Post-Crisis Monetary Policy, James Dean Jan 2022

Modeling Post-Crisis Monetary Policy, James Dean

Graduate Theses, Dissertations, and Problem Reports (ETD)

Chapter 1, co-authored with Scott Schuh, examines whether the Taylor Rule still adequately captures monetary policy despite unconventional monetary policies (UMP) and the policy rate near zero in 2009-2015. We find structural breaks at 2007:Q3 in macro models with a shadow funds rate. Taylor Rule coefficients shift back toward pre-1984 estimates and breaks occurred in non-policy parameters. Results are similar with the effective funds rate, so either breaks are not due to UMP or the shadow rate is an insufficient specification of UMP. Chapter 2 incorporates the term structure and the Fed’s average inflation targeting (AIT) framework into the model …

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Stress Testing During Times Of War, Kathryn Judge Jan 2022

Stress Testing During Times Of War, Kathryn Judge

Faculty Scholarship

In the spring of 2009, the United States was mired in the greatest recession it had faced since the Great Depression. In March, the Dow Jones Industrial Average had fallen to 6,594.44, a total decline of 53.4 percent from its peak in the fall of 2007. The official unemployment rate was over 9 percent and still trending upward, eventually exceeding 10 percent. With the support of Congress, the Federal Reserve (the Fed) and other financial regulators had launched an array of initiatives to contain the fallout of what had become a global financial crisis. These interventions, including a massive recapitalization …

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