Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Stefania D'Amico"'
Autor:
Stefania D'Amico, Thomas B. King
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::71bdba35fdd4ceb3908ee14a6187feaf
https://doi.org/10.2139/ssrn.4423870
https://doi.org/10.2139/ssrn.4423870
Autor:
Stefania D'Amico, N. Aaron Pancost
Publikováno v:
Review of Finance. 26:117-162
We price the risky component of specialness spreads—identified by their deviations from the expected auction cycle—within a dynamic term structure model estimated using daily prices of all outstanding Treasury securities and corresponding special
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c5749b72372fe9d25a62d4aa3b0fa4e2
https://doi.org/10.1093/rof/rfab028
https://doi.org/10.1093/rof/rfab028
Publikováno v:
Finance and Economics Discussion Series. 2020:1-38
This paper considers various ways of using balance sheet policy (BSP) to provide monetary policy stimulus, including the BSPs put in place by the Federal Reserve in the wake of the Global Financial Crisis, the choice between fixed-size and flow-based
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::19187c9e03126f3a03487ac357dafeb1
https://doi.org/10.17016/feds.2020.071
https://doi.org/10.17016/feds.2020.071
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::364377e1df706278cb01e63f28753d6e
https://doi.org/10.2139/ssrn.4128109
https://doi.org/10.2139/ssrn.4128109
Municipal (muni) bonds are an important source of funding for state and local governments. During the Covid-19 pandemic, muni debt markets became severely distressed. In response, the Federal Reserve established the Municipal Liquidity Facility (MLF)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e72922c1586125f969430f4c3cf6901e
https://doi.org/10.21033/wp-2021-14
https://doi.org/10.21033/wp-2021-14
Publikováno v:
Chicago Fed Letter.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1b48a6a386dfee904b3b6a13b2e6b006
https://doi.org/10.21033/cfl-2020-449
https://doi.org/10.21033/cfl-2020-449
Autor:
Stefania D'Amico, Tim Seida
Publikováno v:
SSRN Electronic Journal.
To analyze the evolution of quantitative easing’s (QE) and tightening’s (QT) effects across consecutive announcements, we focus on their unexpected component. Treasury yield sensitivities to QE and QT supply surprises do not fall monotonically ov
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::84a4cc68af3ddedd8aceae8819a4d65b
https://doi.org/10.2139/ssrn.3664949
https://doi.org/10.2139/ssrn.3664949
Publikováno v:
SSRN Electronic Journal.
In this study, we use the liquid and efficient bond ETF prices and CDX spreads to quantify the effects of the announcements of the Primary and Secondary Market Corporate Credit Facilities on the underlying corporate bonds. We find that those announce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::51004c727c817034cf2850c4761550a1
https://doi.org/10.2139/ssrn.3604744
https://doi.org/10.2139/ssrn.3604744
In this study, we use the liquid and efficient bond ETF prices and CDX spreads to quantify the effects of the announcements of the Primary and Secondary Market Corporate Credit Facilities on the underlying corporate bonds. We find that those announce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b665b613f18905ab69eb684ee35ad72e
https://doi.org/10.21033/wp-2020-14
https://doi.org/10.21033/wp-2020-14