Fed Commercial Paper Data

October 5, 2008 by

There’s been a lot of talk lately of the commercial paper market drying up.  The financial commercial paper market has been hard-hit, of course, but there’s been speculation in the press that the contagion is spreading to the industrial side of the market, with potentially devastating impact on the real economy. It turns out that the Fed keeps close tabs on the commercial paper market, and releases regular data on the subject here. From the data, it seems clear that the impact on the non-financial sector has been small.

Via Epicurean Dealmaker.

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FDIC Resolutions Handbook

September 30, 2008 by

Are you curious what happens when the US government takes over a bank?  The FDIC has the book for you.

Eight Hundred Years of Data

September 29, 2008 by

Carmen Reinhart and Kenneth Rogoff have announced a database of eight hundred years of sovereign debt crises.  Now that’s a time series.

Looking to Short?

September 21, 2008 by

If you’re looking to short financial stocks despite the fact that’s now actually illegal, you’re in luck.  There are short ETFs that specialize in the financial sector.  The short ETFs work by entering into swap agreements, so they don’t fall afoul of the rules.

Tax on Playing Cards

May 11, 2008 by

Mark Thoma has points out an interesting piece of historical trivia: to discourage gambling, Great Britain used to have a special tax on playing cards.

Finishing the Semester

April 15, 2008 by

Posting will probably continue to be light while we finish up the semester.

The Bear Bailout

March 26, 2008 by

I’ve been wondering how much money the Bear Stearns bailout will really cost the Fed. Commenters are throwing around the 30 million dollar figure, but of course that represents an absolute worst case. Under the terms of the agreement with JP Morgan, the investment bank is on the hook for the first billion dollars in losses from liquidating the firm, while the Fed is responsible for the rest.

This Bloomberg article offers some useful information on the subject. They quote Joe Mason, a Drexel University professor who researches banking crises, who observes that on average creditors only recover 40 percent when liquidating insolvent banks. So the losses to the Fed could plausibly be potentially quite large.

Generalized Hyperbolic Distributions

March 22, 2008 by

I came across short paper by Stefan Jaschke that describes different modeling choices for stock returns (which famously have fat tails). The paper suggests generalized hyperbolic distributions as a possibility.

New Economic Geography

March 18, 2008 by

The New Economic Geography is a family of theoretical models that try to explain why modern economies naturally produce large cities or metropolitan regions. I came across this survey paper by Ottaviano and Thisse which introduces the subject.

Bear Stearns in Trouble

March 14, 2008 by

When the New York Fed organized a bailout by Wall Street of Long Term Capital Management, Bear Stearns notoriously refused to cooperate. Now it’s their turn, as the Fed and J.P. Morgan cooperate to prevent a complete collapse of the broker.