G1 - General Financial Markets
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Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets
A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns. -
Improving Overnight Loan Identification in Payments Systems
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market. -
12 June 2014 Reforming Financial Benchmarks: An International Perspective
Thomas Thorn and Harri Vikstedt examine the efforts being taken internationally and in Canada to enhance the governance and integrity of financial benchmarks. The report provides an overview of how interbank interest rate benchmarks are set and describes the weaknesses in the process that were exposed by the financial crisis. It also explains recent policy developments designed to make global and Canadian interbank benchmarks more robust. -
Rollover Risk, Liquidity and Macroprudential Regulation
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post.