What financing data reveal about dealer leverage
The Federal Reserve collects data on the financing activities of the primary government securities dealers. Some market analysts argue that the data show a considerable rise in dealer leverage in recent years. However, a close reading of the data suggests that dealer borrowing involving fixed-income securities has grown only modestly. Moreover, the increase that has occurred is not clearly associated with greater risk taking.
Volume (Year): 11 (2005)
Issue (Month): Mar ()
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- Grossman, Sanford J. & Vila, Jean-Luc, 1992.
"Optimal Dynamic Trading with Leverage Constraints,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 27(02), pages 151-168, June.
- Sanford J. Grossman & Jean-Juc Vila, . "Optimal Dynamic Trading with Leverage Constraints," Rodney L. White Center for Financial Research Working Papers 36-89, Wharton School Rodney L. White Center for Financial Research.
- Arturo Estrella & Frederic S. Mishkin, 1996. "The yield curve as a predictor of U.S. recessions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 2(Jun).
- Tobias Adrian, 2004.
"Inference, arbitrage, and asset price volatility,"
187, Federal Reserve Bank of New York.
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