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Money and Payments Studies

Our economists research and analyze the performance of payment systems, policies related to the provision of payments and to the oversight of payment systems.

New from Liberty Street Economics

The Odd Behavior of Repo Haircuts during the Financial Crisis Our bloggers identify “puzzling” differences in haircut behavior in the bilateral and tri-party repo markets during the financial crisis. They also discuss the implications for policymakers considering measures that might help prevent runs on securities dealers. By Adam Copeland and Antoine Martin

EVENTS

Money and Payments Workshop: Financial Market Structure On October 19, 2012, the Federal Reserve Bank of New York will host a workshop for academics and central bank researchers to discuss current research on the importance of financial market structure. The event will feature presentations on issues related to central counterparty clearing, dealer networks, and the impact of dark pools on price discovery, among other topics.

RECENT ARTICLES

Assessing the Quality of “Furfine-based” Algorithms Some academic research on the fed funds market relies on individual transactions inferred indirectly from an algorithm, the accuracy of which has not been formally established. This paper tests the algorithm, and obtains results that raise concerns about its appropriateness. By Olivier Armantier and Adam Copeland, Staff Report 575, October 2012

The Minimum Balance at Risk: A Proposal to Mitigate the Systemic Risks Posed by Money Market Funds The authors use new U.S. Treasury and SEC data on money market fund losses to calibrate a "minimum balance at risk" rule to reduce the vulnerability of the funds to runs and protect investors who do not redeem quickly in crises. By Patrick E. McCabe, Marco Cipriani, Michael Holscher, and Antoine Martin, Staff Reports 564, July 2012

Estimating a Structural Model of Herd Behavior in Financial Markets New York Fed and University College London authors develop a new methodology to estimate the importance of informational herding behavior in financial markets. By Marco Cipriani and Antonio Garino, Staff Reports 561, May 2012

Shadow Banking Regulation The authors review the implications of these reform efforts for shadow funding sources including asset-backed commercial paper, triparty repurchase agreements, money market mutual funds, and securitization By Tobias Adrian and Adam B. Ashcraft, Staff Reports 559, April 2012

Leverage and Asset Prices: An Experiment This is the first paper to test the asset pricing implication of leverage in a laboratory. We show that as theory predicts, leverage increases asset prices: When an asset can be used as collateral (that is, when the asset can be bought on margin), its price goes up. By Marco Cipriani, Ana Fostel, and Daniel Hauser, Staff Reports 548, February 2012