Working Papers

From Office of Financial Research, US Department of the Treasury
Contact information at EDIRC.
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24-09: Central Clearing and Trade Cancellation: The Case of LME Nickel Contracts on March 8, 2022

John Heilbron

24-08: Does lock-up lead to stability?

Samuel Hempel, Gregory Phelan and Thomas Ruchti

24-07: The Who and How of Hedge Fund Risk Shifting

Spencer Andrews and Salil Gadgil

24-06: What’s at Stake? Understanding the Role of Home Equity in Flood Insurance Demand

Philip Mulder and Yanjun Liao

24-05: Global Banks and Natural Disasters

Francisco Ilabaca, Robert Mann and Philip Mulder

24-04: Do Credit Default Swaps Still Lead? The Effects of Regulation on Price Discovery

Salil Gadgil

24-03: Bank Competition and Strategic Adaptation to Climate Change

Dasol Kim, Luke M. Olson and Toan Phan

24-02: The Value of Lending Relationships

Thomas Ruchti, Andrew Bird, Stephen A. Karolyi and Michael Hertzel

24-01: Intermediation Networks and Derivative Market Liquidity: Evidence from CDS Markets

Mark Paddrik and Stathis Tompaidis

23-10: Crash Narratives

Dasol Kim, William Goetzmann and Robert Shiller

23-09: Trend Inflation Under Bounded Rationality

Francisco Ilabaca and Greta Meggiorini

23-08: Are Short-selling Restrictions Effective?

Thomas Ruchti, Yashar Barardehi, Andrew Bird and Stephen A. Karolyi

23-07: The Transition to Alternative Reference Rates in the OFR Financial Stress Index

Jeremy Bejarano

23-06: Technology Shocks and Predictable Minsky Cycles

Gregory Phelan, Jean-Paul L’Huillier and Hunter Wieman

23-05: Sustainability with Risky Growth

Gregory Phelan and David Love

23-04: Anatomy of the Repo Rate Spikes in September 2019

Robert Kahn, Matthew McCormick, Vy Nguyen, Mark Paddrik and H. Peyton Young

23-03: Can Supply Shocks be Inflationary with a Flat Phillips Curve?

Jean-Paul L’Huillier and Gregory Phelan

23-02: Fragility of Safe Assets

Thomas Eisenbach and Gregory Phelan

23-01: Digital Currency and Banking-Sector Stability

William Chen and Gregory Phelan

22-06: Counterparty Choice, Bank Interconnectedness, and Bank Risk-taking

Andrew Ellul and Dasol Kim

22-05: Hedge Funds and Treasury Market Price Impact: Evidence from Direct Exposures

Ron Alquist and Ram Yamarthy

22-04: Central Bank Digital Currency: Stability and Information

Todd Keister and Cyril Monnet

22-03: Cash-Hedged Stock Returns

Chase P. Ross, Landon J. Ross and Sharon Y. Ross

22-02: Aggregate Risk in the Term Structure of Corporate Credit

Johannes Poeschl and Ram Yamarthy

22-01: Financial Intermediary Funding Constraints and Segmented Markets

Samuel J. Hempel, Dasol Kim and Russ Wermers

21-02: Assessing the Safety of Central Counterparties

Mark Paddrik and H. Peyton Young

21-01: Hedge Funds and the Treasury Cash-Futures Disconnect

Daniel Barth and Robert Kahn

20-05: Credit Risk and the Transmission of Interest Rate Shocks

Berardino Palazzo and Ram Yamarthy

20-04: Central Counterparty Default Waterfalls and Systemic Loss

Mark Paddrik and Simpson Zhang

20-03: Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds

Daniel Barth and Phillip Monin

20-02: Leverage and Risk in Hedge Funds

Daniel Barth, Laurel Hammond and Phillip Monin

20-01: The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think

Daniel Barth, Juha Joenvaara, Mikko Kauppila and Russell Wermers

19-04: Cross-Asset Market Order Flow, Liquidity, and Price Discovery

Robert Garrison, Pankaj Jain and Mark Paddrik

19-03: The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

Mathias S. Kruttli, Phillip J. Monin and Sumudu Watugala

19-02: The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption

M. Allahrakha, Jill Cetina, Benjamin Munyan and Sumudu Watugala

19-01: Market-Making Costs and Liquidity: Evidence from CDS Markets

Mark Paddrik and Stathis Tompaidis

18-06: Reducing Moral Hazard at the Expense of Market Discipline: The Effectiveness of Double Liability Before and During the Great Depression

Haelim Anderson, Daniel Barth and Dong Beom Choi

18-05: OTC Intermediaries

Andrea L. Eisfeldt, Bernard Herskovic, Sriram Rajan and Emil Siriwardane

18-04: Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs

Agostino Capponi, Paul Glasserman and Marko Weber

18-03: Reputational Dynamics in Financial Networks During a Crisis

Simpson Zhang and Mihaela van der Schaar

18-02: Competitive Pay and Excessive Manager Risk-taking

Jen-Wen Chang and Simpson Zhang

18-01: The OFR Financial System Vulnerabilities Monitor

Joe McLaughlin, Adam Minson, Nathan Palmer and Eric Parolin

17-07: Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

Mathias S. Kruttli, Phillip J. Monin and Sumudu Watugala

17-06: How Safe are Central Counterparties in Derivatives Markets?

Mark Paddrik and H. Peyton Young

17-05: The Intersection of U.S. Money Market Mutual Fund Reforms, Bank Liquidity Requirements, and the Federal Home Loan Bank System

Kenechukwu Anadu and Viktoria Baklanova

17-04: The OFR Financial Stress Index

Phillip Monin

17-03: The Complexity of Bank Holding Companies: A New Measurement Approach

Mark Flood, Dror Y. Kenett, Robin L. Lumsdaine and Jonathan K. Simon

17-02: Europe's CoCos Provide a Lesson on Uncertainty

Katherine Gleason, Steve Bright, Francis Martinez and Charles Taylor

17-01: Persistence and Procyclicality in Margin Requirements

Paul Glasserman and Qi Wu

16-14: Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks

Anqi Liu, Mark Paddrik, Steve Yang and Xingjia Zhang