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on Market Microstructure |
| By: | Ana Fiorella Carvajal; Ricardo Bebczuk |
| Keywords: | Finance and Financial Sector Development-Capital Markets and Capital Flows |
| Date: | 2024–04 |
| URL: | https://d.repec.org/n?u=RePEc:wbk:wboper:41408 |
| By: | Cornelius Fleischhaker; Daniel Navia; Heron Rios |
| Keywords: | Macroeconomics and Economic Growth-Taxation & Subsidies Environment-Carbon Policy and Trading Energy-Fuels |
| Date: | 2024–08 |
| URL: | https://d.repec.org/n?u=RePEc:wbk:wboper:42063 |
| By: | Falk Bräuning; Hillary Stein |
| Abstract: | This brief studies how regulation involving bank capital requirements affects the behavior of bank-affiliated primary dealers in the Treasury market. Specifically, it looks at the potential effects of changes to the supplementary leverage ratio (SLR) requirement, which determines how much capital a bank must hold in relation to its overall exposure, including exposure in its trading assets such as Treasuries. The SLR is a measure of a bank’s ability to absorb losses during periods of financial stress; the Federal Reserve sets a minimum requirement for the SLR to help protect the stability of the banking system by preventing excessive leverage. Our analysis presents evidence that relaxing the SLR constraint—that is, lowering the required SLR—can cause an increase in dealers’ Treasury trading activity, especially among dealers affiliated with more constrained (lower-SLR) banks. This finding implies that the SLR requirement is indeed binding for some banks—that it constrains their Treasury positions to levels they would not otherwise choose. |
| Keywords: | supplementary leverage ratio; Treasury market liquidity; Bank capital regulation |
| JEL: | G10 G12 G18 G21 |
| Date: | 2025–03–04 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedbcq:99642 |
| By: | Phiri, Sydney Chauwa; Chisha, Keegan; Chipili, Jonathan M. |
| Abstract: | Traditional macroeconomic fundamentals have challenges in explaining nominal exchange rate movements at short horizons partly due to their inability to capture expectations. Using data from the Bank of Zambia, and an order flow-based microstructure model within a vector autoregressive (VAR) framework, this study establishes that order flows in the foreign exchange market in Zambia contain useful information in explaining daily exchange rate movements for the period 20162020. Daily order flows of four out of 18 different customer types are found to contain information content with the interbank, manufacturing, households, as well as wholesale and retail being the most important. Cross-market order flows contain less information to explain daily movements in the kwacha/US dollar exchange rate. The policy lesson from the empirical results points to the central bank paying attention to the demand requirements by the four identified segments of the foreign exchange market that can potentially drive up the exchange rate and generate inflationary pressures. |
| Date: | 2024–05–13 |
| URL: | https://d.repec.org/n?u=RePEc:aer:wpaper:cedf9f59-aa06-4473-8ce1-ef0b8d8babd2 |