That’s the title of the 6th annual Forecasting Summer School, June 24-25, at the University of Virginia Darden School of Business, Charlottesville, where I’ll be the instructor. The deadline in March 27.
Category Archives: financial markets
What Would Interest Rates Have to Be for Unrealized Losses to Be Zero
Consider the following graph of unrealized losses on securities held by reporting banks (from Rupkey/Financial Markets This Week):
How Unique Was SVB?
Pretty unique, in terms of size, and the combination of uninsured deposits and held-to-maturity securities. From the Economist:
Recession Chances: Fed Pause vs. Banking Shock
Goldman Sachs raised the probability of recession from 25% to 35% in light of the SVB related turmoil (although their guess is still lower than the consensus). This prompted me to wonder what was the net effect of the turmoil and Fed response (less tightening) on economic activity.
Financial Market Integration Assessed
In a new paper prepared for the Handbook of Financial Integration, edited by Guglielmo Maria Caporale, Hiro Ito and I examine bond based measures of financial market integration (so, no quantity stock/flow measures, nor banking integration).
Rates, Break-evens, VIX & EPU, pre-CS/UBS
After last week’s financial turmoil, but before the CS/UBS deal, real rates and inflation breakevens were down, while risk and uncertainty indicators were up.
SVB, SIFIs, Dodd-Frank, EGRRCPA, HQLA and the LCR
One major question posed by recent events is whether the issues SVB faced would’ve been caught had EGRRCPA not been passed (which raised the threshold for what qualifies as a SIFI). Bill Nelson at the Bank Policy Institute has an illuminating post arguing that the liquidity coverage ratio (LCR), which would have applied to SVB had it been classified an SIFI, would not have been triggered. People like former Senator Toomey (a cosponsor of the 2018 act) have asserted that the LCR wouldn’t have caught SVB. Here’s the logic I think he, and others, is relying on.
Banking Turmoil: Deregulation vs. Monetary Profligacy (vs. Unanticipated Events)
I keep on hearing this refrain from people like former senator Toomey (on Bloomberg TV today) that the 2018 deregulation had nothing to do with SVB’s travails; rather its problems (presumably also Credit Suisse’s too) was due to monetary and fiscal profligacy. I thought it would be useful to recap the path of expected interest rates.
Yields, Spreads, and Uncertainty/Risk
Term spreads rising slightly, yields (nominal, real) down, and risk measures up.
Implied Fed funds Peak – from September to May
Using CME futures, from 1:30CT today: