James McAndrews

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We examine the importance of liquidity hoarding and counterparty risk in the U.S. overnight interbank market during the financial crisis of 2008. Our findings suggest that counterparty risk plays a larger role than does liquidity hoarding: in the two days after Lehman Brothers’ bankruptcy, loan terms become more sensitive to borrower characteristics. In(More)
This paper examines the effects of the Federal Reserve’s Term Auction Facility (TAF) on the London Inter-Bank Offered Rate (LIBOR). The particular question investigated is whether the announcements and operations of the TAF are associated with downward shifts of the LIBOR; such an association would provide one indication of the efficacy of the TAF in(More)
Over the past decade the most popular design for high-value payment systems has changed, reflecting market needs and the concerns of central banks for systemic stability. Before 1990 most systems were designed on a deferred net settlement (DNS) basis but since then almost all major countries have moved to Real-Time Gross Settlement (RTGS) systems for(More)
This paper investigates depository institutions’ decisions whether or not to impose surcharges (direct usage fees) on non-depositors who use their ATMs. In addition to documenting patterns of surcharging, we examine motives for surcharging, including both direct generation of fee revenue and the potential to attract deposit customers who wish to avoid(More)
We study the incentives of participants in a real-time gross settlement system with and without the addition of a liquidity-saving mechanism (queue). Participants in our model face a liquidity shock and different costs for delaying payments. They trade off the cost of delaying a payment against the cost of borrowing liquidity from the central bank. The(More)
he rapid growth of e-commerce and the Internet has led to the development of new payment mechanisms capable of tapping the Internet’s unique potential for speed and convenience. A recent and especially successful example of such a development is the personal on-line payment: a mechanism that uses web and e-mail technologies to facilitate transfers between(More)
The Wharton Financial Institutions Center provides a multidisciplinary research approach to the problems and opportunities facing the financial services industry in its search for competitive excellence. The Center's research focuses on the issues related to managing risk at the firm level as well as ways to improve productivity and performance. The Center(More)