scholarly journals Have the US Macro-Financial Linkages Changed? The Balance Sheet Dimension

2014 ◽  
Author(s):  
Eddie Gerba
Keyword(s):  
Balance Sheet ◽  
The Us

Asset concentration in the US agricultural balance sheet: a relative information approach

2018 ◽  
Vol 78 (4) ◽  
pp. 497-512
Author(s):  
Gulcan Onel ◽  
Jaclyn Kropp ◽  
Charles B. Moss
Keyword(s):  
Real Estate ◽  
Balance Sheet ◽  
State Level ◽  
United States Department ◽  
Factor Productivity ◽  
Content Type ◽  
Inequality Measures ◽  
The Us ◽  
The Usa ◽  
Real Estate Prices

Purpose Over the past four decades, real values of farm real estate and the share of assets on farmers’ balance sheets attributed to farm real estate have increased. The purpose of this paper is to examine the factors that explain the concentration of the US agricultural balance sheet around a particular asset, farm real estate, and the extent to which the degree of asset concentration varies across United States Department of Agriculture production regions. Design/methodology/approach State-level data from 48 states and entropy-based inequality measures are used to examine changes in asset distributions (real estate vs non-real estate assets) both within and between regions over time. Findings The agricultural balance sheet is found to concentrate into real estate in the USA over the period 1960-2003 with the rate of concentration varying across production regions. In some regions, the concentration is mainly due to changes in real estate prices, while in other regions concentration is also driven by changes in real estate holdings or changes in total factor productivity. Originality/value This study formally estimates the degree to which the concentration of balance sheet items can be explained by the observed changes in farm real estate prices relative to observed changes in agricultural factor productivity or changes in farm real estate holdings. The computed regional differences in asset concentration and its main drivers have implications for changes in equity and solvency positions of farmers as well as agricultural lenders’ risk exposure.

Covered interest parity in cross-currency swap bases and demand for US treasuries

2020 ◽  
Vol 07 (02) ◽  
pp. 2050018
Author(s):  
Cho-Hoi Hui ◽  
Chi-Fai Lo ◽  
Chin-To Fung
Keyword(s):  
Term Structure ◽  
Global Financial Crisis ◽  
Yield Curve ◽  
Balance Sheet ◽  
Term Structure Model ◽  
Dynamic Relationship ◽  
The Us ◽  
Covered Interest Parity ◽  
Interest Parity ◽  
Us Dollar

This paper studies the dynamic relationship between demand for the US Treasury yields and cross-currency swap (CCS) bases since the 2008 global financial crisis. Using a three-factor non-Gaussian-term structure model for the US Treasuries, an estimated short-rate premium in the yield curve tends to move in tandem with and lead the euro and Japanese yen CCS bases against the US dollar. The dynamics between the premium and CCS bases are found to be co-integrated, suggesting a long-run equilibrium between them. Empirically, the premium is found to be positively related to demand for Treasuries. This is consistent with recent studies in which factors including the strength of the US dollar, the demand for dollar funding and banks’ balance-sheet structures play important roles in determining the CCS bases. These factors increase demand for US Treasuries (high-quality US dollar assets) by investors searching for safe dollar assets and banks with higher leverages due to increased demand for dollar funding. The findings in this paper contribute to explaining the widespread failure of covered interest parity in foreign exchange swap markets.

scholarly journals Do Investors Still Gravitate to Preferred Habitats on the US Treasury Yield Curve?

2018 ◽  
Vol 8 (2) ◽  
pp. 214
Author(s):  
Kenneth S. Dreifus ◽  
Angelo DeCandia ◽  
Elliot Goldberg ◽  
Mohammed S. Chowdhury
Keyword(s):  
World War Ii ◽  
Yield Curve ◽  
Balance Sheet ◽  
World War ◽  
Post World War Ii ◽  
For Profit ◽  
Preferred Habitat ◽  
The Us ◽  
Analyze Data

The purpose of this study is to test the preferred habitat theory non-econometrically using interviews with the help of a questionnaire for self-guidance on a group of focused investors. Frequencies and simple percentages were used to analyze data. Though many generations of post-World War II economics and finance students were taught that the nature of the liabilities on the balance sheet and the desire to avoid mismatches against assets caused particular classes of investors to gravitate to a preferred habitat on the yield curve, our study based on the responses to questionnaires by a group of U.S. based bond traders and risk analysts shows that more than half of the respondents have no preference as to where on the curve they trade, whether the trade is on behalf of their customers or for the house, and that their arbitrage strategies are driven by opportunities for profit.

Any US Fed balance sheet unwinding may be disorderly

2020 ◽  
Keyword(s):  
Financial Markets ◽  
Federal Reserve ◽  
Balance Sheet ◽  
Target Range ◽  
Treasury Bills ◽  
Content Type ◽  
Treasury Securities ◽  
The Us ◽  
Repo Rate ◽  
The Interest Rate

Subject US Federal Reserve policy. Significance The US repurchase agreement (repo) rate, the interest rate on overnight loans backed by Treasury securities to facilitate a range of transactions, suddenly soared above 5% on September 15, 2019. There were immediate effects across financial markets, but the Federal Reserve (Fed) quickly bought up Treasury bills and the repo rate returned to the Fed’s 2.00-2.25% target range. However, concerns linger about whether a spike could recur. The Fed has increased its balance sheet by more than 10% since September but sees this as a temporary adjustment rather than a policy change. Impacts Having narrowed to 3.7 trillion dollars by August 2019, the Fed’s balance sheet could pass its 4.4-trillion-dollar record this year. The Fed will seek to ensure its has enough resources for corporate-tax payment dates but without increasing its holdings indefinitely. Increasing the size of the Fed’s balance sheet could limit the effectiveness of further balance sheet expansion in a future crisis.

Fed policy move will mean lower rates for even longer

2020 ◽  
Keyword(s):  
Interest Rates ◽  
Economic Activity ◽  
Yield Curve ◽  
Balance Sheet ◽  
Content Type ◽  
Us Economy ◽  
The Us ◽  
The Impact

Significance The Fed reduced interest rates to 0-0.25% and almost doubled the size of its balance sheet to offset some of the impact of the COVID-19 pandemic on the US economy but clear signs of economic activity rebounding are now prompting the Fed to look further out. Impacts The Fed will reassure markets that there will be no rate increases under virtually any circumstances in the next few years. Eventually the Fed will consider reducing the size of its balance sheet; this will require adroit management to avoid worrying investors. There appears to be little support at the Fed for negative rates; adopting yield-curve control remains possible if the recovery disappoints.

US household deleveraging following the Great Recession – a model-based estimate of equilibrium debt

2015 ◽  
Vol 15 (1) ◽  
Author(s):  
Bruno Albuquerque ◽  
Ursel Baumann ◽  
Georgi Krustev
Keyword(s):  
Great Recession ◽  
Balance Sheet ◽  
State Level ◽  
Household Debt ◽  
The Great Recession ◽  
Us Economy ◽  
Pooled Mean Group ◽  
Level Data ◽  
The Us ◽  
Income Ratio

AbstractThe balance sheet adjustment in the household sector was a prominent feature of the Great Recession that is widely believed to have held back the cyclical recovery of the US economy. A key question for the US outlook is therefore whether household deleveraging has ended or whether further adjustment is needed. The novelty of this paper is to estimate a time-varying equilibrium household debt-to-income ratio determined by economic fundamentals to examine this question. The paper uses state-level data for household debt from the FRBNY Consumer Credit Panel over the period 1999Q1–2012Q4 and employs the Pooled Mean Group (PMG) estimator developed by Pesaran, Shin, and Smith (1999), adjusted for cross-section dependence. The results support the view that, despite significant progress in household balance sheet repair, household deleveraging still had some way to go as of 2012Q4, as the actual debt-to-income-ratio continued to exceed its estimated equilibrium. The baseline conclusions are rather robust to a set of alternative specifications. Going forward, our model suggests that part of this debt gap could, however, be closed by improving economic conditions rather than only by further declines in actual debt. Nevertheless, the normalisation of the monetary policy stance may imply challenges for the deleveraging process by reducing the level of sustainable household debt.

scholarly journals The International Monetary and Financial System

2019 ◽  
Vol 11 (1) ◽  
pp. 859-893 ◽  
Author(s):  
Pierre-Olivier Gourinchas ◽  
Hélène Rey ◽  
Maxime Sauzet
Keyword(s):  
United States ◽  
World Economy ◽  
Balance Sheet ◽  
The United States ◽  
Exorbitant Privilege ◽  
International Currencies ◽  
The Us ◽  
The World ◽  
Us Dollar ◽  
Triffin Dilemma

International currencies fulfill different roles in the world economy, with important synergies across those roles. We explore the implications of currency hegemony for the external balance sheet of the United States, the process of international adjustment, and the predictability of the US dollar exchange rate. We emphasize the importance of international monetary spillovers and of the exorbitant privilege, and we analyze the emergence of a new Triffin dilemma.

scholarly journals Analyzing the economic variables and their relationship to inflation in the US, China and Germany: Why empirical results demonstrate the inability to accurately assess economic policy through data

2020 ◽  
Vol 5 (4) ◽  
Author(s):  
Anthony Marino Rosa
Keyword(s):  
Interest Rates ◽  
Balance Sheet ◽  
The United States ◽  
Global Market ◽  
Strongly Correlated ◽  
The Past ◽  
Real Gdp ◽  
Inflation Rates ◽  
The Us ◽  
Cross Country

For the past 50 years, economists used the quantity theory of money to explain inflation. Monetarists, like Milton Friedman, view inflation as “everywhere a monetary phenomenon” and cite data comparing the quantity of money per unit of output (Real GDP) with CPI (inflation). Once scaled, the data appears strongly correlated. Critics state large action in the past decade by central banks did not lead to inflation. Recent research claims, “rapid money supply growth does not cause inflation...neither do rapid growth in government debt, declining interest rates, or rapid increases in a central bank’s balance sheet.” I test claims about the causes and predictability of inflation through a cross-country examination of different policies and their correlation with countries’ inflation rates. The study of inflation and its causes is important as the price mechanism is considered the mudsill of a functioning market, and countries aim to minimize large, unpredictable changes (hyperinflation, deflation). I examine empirical data from March 1959 - March 2020 in the United States through a multivariate linear regression model and then compare this with data from China 1996-2016 and Germany 1991-2020 as global references. I demonstrate the theoretical contradiction that, in the US, personal spending and high taxes correlate with inflation while government spending and monetary injections do not. I also demonstrate two key findings. First, interest rates appear to react to inflation rather than cause it. Second, there are no predictable causes of visible inflation in a global market. My results are inconclusive; yet the puzzling nature of their indications is evidence against broad monetary claims in general.

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