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198 records from EconBiz based on author Name
1. Capital Account Liberalization as a Signal
abstractWe present a model in which a government's current capital controls policy signals future policies. Controls on capital outflows evolve in response to news on technology, conditional on government attitudes towards taxation of capital. When there is uncertainty over government types, a policy of liberal capital outflows sends a favorable signal that may trigger a capital inflow. This prediction is consistent with the experience of several countries that have liberalized their capital account
Bartolini, Leonardo; Drazen, Allan;2021
Availability: Link
2. Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals
abstractThis paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate fundamentals. Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market
Bartolini, Leonardo; Giorgianni, Lorenzo;2021
Availability: Link Link
3. Settlement delays in the money market
abstractWe track 38,000 money market trades from execution to delivery and return to provide a first empirical analysis of settlement delays in financial markets. In line with predictions from recent models showing that financial claims are settled strategically, we document a tendency by lenders to delay delivery of loaned funds until the afternoon hours. We find that banks follow a simple strategy to manage the risk of account overdrafts — delaying the settlement of large payments relative to that of small payments. More sophisticated strategies, such as increasing settlement delays when own liquid balances are low and when dealing with small trading partners, play a marginal role. We also find evidence of strategic delay in the return of borrowed funds, although we can explain a smaller fraction of the dispersion in delays in the return than in the delivery leg of money market lending. -- Money market trading ; settlement delay ; gridlock equilibria
Bartolini, Leonardo; Hilton, Spence; McAndrews, James Joseph;2008
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
Link 4. Money market integration
Bartolini, Leonardo; Hilton, Spence; Prati, Alessandro;2006
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
5. Money Market Integration
abstractWe use transaction-level data and detailed modeling of the high-frequency behavior of federal funds and Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar markets, the two core components of the dollar money market. Our results contrast with previous evidence of segmentation of these two markets, showing them to be well integrated even at high intra-day frequency. We document several patterns in the behavior of federal funds and Eurodollar spreads, including liquidity effects from trading volume to yield spreads volatility. Our analysis supports the view that targeting federal funds rates alone is sufficient to stabilize rates in the, much larger, dollar money market as a whole
Bartolini, Leonardo; Prati, Alessandro; Bartolini, Leonardo; Hilton, Richard Spence;2006
Type: Arbeitspapier; Working Paper;
Availability: Link Link Link
Citations: 1 (based on OpenCitations)
6. The Execution of Monetary Policy : A Tale of Two Central Banks
abstractThe Eurosystem and the U.S. Federal Reserve System follow quite different approaches to the execution of monetary policy. The former institution adopts a hands-off approach that largely delegates to depository institutions the task of stabilizing their own liquidity at high frequency. The latter institution follows a much more hands-on approach involving daily intervention to fine-tune the liquidity of the banking system. We review the implications of these contrasting approaches, focusing on their impact on the high-frequency behavior of very short-term interest rates. We also examine interest rate behavior following the Y2K date change and the 9/11/2001 crisis - events that required the two central banks to deviate significantly from their customary style of liquidity management. We find that, despite differences in operational framework, certain elements of the institutions' styles of day-to-day intervention have caused very short-term interest rates to behave similarly in the euro area and the United States. Significantly, during periods of anticipated or actual crisis, the two institutions have acted very much alike in managing the liquidity of the interbank market in response to shocks
Bartolini, Leonardo; Prati, Alessandro;2013
Availability: Link Link
Citations: 3 (based on OpenCitations)
7. Money market integration
abstractWe use transaction-level data and detailed modeling of the high-frequency behavior of federal funds-Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar markets, the two core components of the dollar money market. Our results contrast with previous research indicating that these two markets are segmented, showing them to be well integrated even at high (intraday) frequency. We document several patterns in the behavior of federal funds-Eurodollar spreads, including liquidity effects from trading volume on yield spreads' volatility. Our analysis supports the view that targeting federal funds rates alone is sufficient to stabilize rates in the (much larger) dollar money market as a whole. -- federal funds ; Eurodollar ; market segmentation
Bartolini, Leonardo; Hilton, Spence; Prati, Alessandro;2005
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
8. Intraday Trading in the Overnight Federal Funds Market
abstractTransaction-level data for the federal funds market provide a rare look at the intraday behavior of trade volume and prices. An analysis of the data reveals that trade volume exhibits large swings over the course of the day while prices remain fairly stable, with rate volatility rising sharply only in the late afternoon. The analysis underscores the important role played by institutional deadlines - most notably, the close of trading - in driving movements in this market
Bartolini, Leonardo; Gudell, Svenja; Hilton, Spence; Schwarz, Krista;2011
Availability: Link
9. The execution of monetary policy : a tale of two central banks
abstractThe Eurosystem and the U.S. Federal Reserve System follow quite different approaches to the execution of monetary policy. The former institution adopts a "hands-off" approach that largely delegates to depository institutions the task of stabilizing their own liquidity at high frequency. The latter institution follows a much more "hands-on" approach involving daily intervention to fine-tune the liquidity of the banking system. We review the implications of these contrasting approaches, focusing on their impact on the high-frequency behavior of very short-term interest rates. We also examine interest rate behavior following the Y2K date change and the 9/11/2001 crisis - events that required the two central banks to deviate significantly from their customary style of liquidity management. We find that, despite differences in operational framework, certain elements of the institutions' styles of day-to-day intervention have caused very short-term interest rates to behave similarly in the euro area and the United States. Significantly, during periods of anticipated or actual crisis, the two institutions have acted very much alike in managing the liquidity of the interbank market in response to shocks.
Bartolini, Leonardo; Prati, Alessandro;2003
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
10. Cross-country differences in monetary policy execution and money market rates' volatility
abstractThe volatility patterns of overnight interest rates differ across industrial countries in ways that existing models, designed to replicate the features of the U.S. federal funds market, cannot explain. This paper presents an equilibrium model of the overnight interbank market that matches these different patterns by incorporating differences in policy execution by the world's main central banks, including differences in central banks' management of marginal lending and deposit facilities in response to shocks. Our model is consistent with central banks' observed practice of rationing access to marginal facilities when the objective of stabilizing short-term interest rates conflicts with another high-frequency objective, such as the targeting of exchange rates. -- interbank market ; interest volatility ; central bank procedures
Bartolini, Leonardo; Prati, Alessandro;2003
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
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